Finite expiry Russian options

A.E. Kyprianou; K. van Schaik; J.J. Duistermaat

Finite expiry Russian options

A.E. Kyprianou, K. van Schaik, J.J. Duistermaat

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Research output: Contribution to journal › Article › Academic › peer-review

Original language	Undefined/Unknown
Pages (from-to)	609-638
Number of pages	30
Journal	Stochastic Processes and their Applications
Volume	115
Issue number	4
Publication status	Published - 2005

Keywords

Wiskunde en Informatica (WIIN)
Mathematics
Wiskunde en computerwetenschappen
Landbouwwetenschappen
Natuurwetenschappen
Wiskunde: algemeen

Cite this

@article{c9024ca6752f4e5885060a4336ed541b,

title = "Finite expiry Russian options",

keywords = "Wiskunde en Informatica (WIIN), Mathematics, Wiskunde en computerwetenschappen, Landbouwwetenschappen, Natuurwetenschappen, Wiskunde: algemeen",

author = "A.E. Kyprianou and {van Schaik}, K. and J.J. Duistermaat",

year = "2005",

language = "Undefined/Unknown",

volume = "115",

pages = "609--638",

journal = "Stochastic Processes and their Applications",

issn = "0304-4149",

publisher = "Elsevier",

number = "4",

}

TY - JOUR

T1 - Finite expiry Russian options

AU - Kyprianou, A.E.

AU - van Schaik, K.

AU - Duistermaat, J.J.

PY - 2005

Y1 - 2005

KW - Wiskunde en Informatica (WIIN)

KW - Mathematics

KW - Wiskunde en computerwetenschappen

KW - Landbouwwetenschappen

KW - Natuurwetenschappen

KW - Wiskunde: algemeen

M3 - Article

SN - 0304-4149

VL - 115

SP - 609

EP - 638

JO - Stochastic Processes and their Applications

JF - Stochastic Processes and their Applications

IS - 4

ER -