Akademik Veri Yönetim Sistemi
Communications in Mathematics and Statistics, cilt.1, sa.1, ss.1-22, 2023 (SCI-Expanded)
The optimal stopping problem for pricingRussian options in financerequires takingthesupremumof the discounted reward function overall
finitestoppingtimes. Weassumethelogarithmof theasset priceisaspectrally negativeMarkov additive process with finitely many regimes.
Thereward function is given by theexponential of therunningsupremumof the price process. Previous work on Russian optimalstopping
problemsuggests that the optimalstoppingtimewould bean upcrossingtime of the drawdown at acertain level foreach regime. We derive
explicit formulas for identifyingthestoppinglevelsand computingthecorrespondingvaluefunctions through arecursivealgorithm. A
numerical is provided for findingthesestoppinglevelsand their valuefunctions.