This article is cited in 1 paper

Control in Social Economic Systems

On the problem of optimal stopping for the composite Russian option

R. V. Ivanov

Trapeznikov Institute of Control Sciences, Russian Academy of Sciences, Moscow, Russia

Abstract: This work is devoted to the solution of the problem on optimal stopping for the Russian option with the multiple presentation of the option for the execution. The characterization of the solution is presented in the form of the description of domains of the stopping and the extension of observations. The method for solving the problem in the explicit form by induction is considered.

Presented by the member of Editorial Board: A. I. Kibzun

Received: 22.09.2008

 English version: Automation and Remote Control, 2010, 71:8, 1602–1607

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