Tid: 11 maj 1998 kl 1515-1700

Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!

Föredragshållare: Paavo Salminen, Institute of Mathematics, Åbo Akademi. (Publikationslista)

Titel: On Russian options

Sammanfattning: The Russian option, as introduced by L.A. Shepp and A.N. Shiryayev in Ann. Applied Probab. Vol. 3, 1993, is a perpertual put option of American type with the payment functional


where S is the stock price process (taken to be a geometrical Brownian motion) and the parameter tex2html_wrap_inline12 can be interpreted via continuously paid dividends. In this talk a new derivation for the value of the Russian option is presented. It is also seen that our approach applies to analyse the option where the payment is tex2html_wrap_inline14 In particular, it is seen that the value of this option may be infinite, depending on the parameters of the model. The associated optimal stopping problems are solved with the techniques exploiting the represention theory of excessive functions.

Till seminarielistan
To the list of seminars