On one problem of American option pricing

Author: Besarion Dochviri
Co-authors: Babilua P., Gogolashvili D., Jaoshvili V.
Keywords: American option, optimal stopping time, rational price.
Annotation:

The article considers a problem of pricing of Russian option (non-self-pricing American type) in the case of symmetric binomial financial market. The problem is reduced to a task of optimal stopping of Markov random sequences. Derived the fair (rational) option price and explicit mathematical expressions for optimal stopping.

Lecture files:

On one problem of American option pricing [en]
ამერიკული ოფციონის ფასდადების ერთი ამოცანის შესახებ [ka]