Abstract
In the context of the Russian option of L. Shepp and A. N. Shiryaev, we present a new derivation of the solution for the underlying one-dimensional optimal stopping problem. Our method is not based on the smooth pasting guess and Ito formula, but only uses the strong Markov property. In addition, the exact formula is given for the expected waiting time of the optimal stopping strategy. Two different methods for this computation are presented. Both methods can be easily generalized to treat similar problems for general one-dimensional time-homogeneous diffusions.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
