SUZUKI, ATSUO; SAWAKI, KATSUSHIGE - In: Asia-Pacific Journal of Operational Research (APJOR) 27 (2010) 02, pp. 227-242
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...