Abstract
We present in the binomial model of Cox, Rubinstein and Ross the closed form solution for the “Russian option”, i.e., the American type option with the reward sequence $f = (f_n )_{n \geqq 0} $ given by \[ f_n (\omega ) = \beta ^n \mathop {\max }\limits_{k \leqq n} S_k (\omega ), \] where $\beta $ is some discounting factor, $0 < \beta < 1$.This option was introduced earlier by L. Sheep and A. N. Shiryaev [3], in the framework of the diffusion model of Black and Sholes.
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