IDEAS home Printed from https://ideas.repec.org/a/wsi/apjorx/v27y2010i02ns021759591000265x.html
   My bibliography  Save this article

The Valuation Of Russian Options For Double Exponential Jump Diffusion Processes

Author

Listed:
  • ATSUO SUZUKI

    (Faculty of Urban Science, Meijo University, Kani-shi, 509-0261, Japan)

  • KATSUSHIGE SAWAKI

    (Nanzan Business School, Nagoya-Shi, 466-8673, Japan)

Abstract

In this paper, we derive closed form solution for Russian option with jumps. First, we discuss the pricing of Russian options when the stock pays dividends continuously. Secondly, we derive the value function of Russian options by solving the ordinary differential equation with some conditions (the value function is continuous and differentiable at the optimal boundary for the buyer). And we investigate properties of optimal boundaries of the buyer. Finally, some numerical results are presented to demonstrate analytical properties of the value function.

Suggested Citation

  • Atsuo Suzuki & Katsushige Sawaki, 2010. "The Valuation Of Russian Options For Double Exponential Jump Diffusion Processes," Asia-Pacific Journal of Operational Research (APJOR), World Scientific Publishing Co. Pte. Ltd., vol. 27(02), pages 227-242.
    • Handle: RePEc:wsi:apjorx:v:27:y:2010:i:02:n:s021759591000265x
    DOI: 10.1142/S021759591000265X
    as

    Download full text from publisher

    File URL: http://www.worldscientific.com/doi/abs/10.1142/S021759591000265X
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1142/S021759591000265X?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Xindan Li & Dan Tang & Yongjin Wang & Xuewei Yang, 2014. "Optimal processing rate and buffer size of a jump-diffusion processing system," Annals of Operations Research, Springer, vol. 217(1), pages 319-335, June.

    More about this item

    Keywords

    Russian option; jump diffusion process;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:apjorx:v:27:y:2010:i:02:n:s021759591000265x. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscinet.com/apjor/apjor.shtml .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.