Copyright © 2009 Atsuo Suzuki and Katsushige Sawaki. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
We deal with the pricing of callable Russian options. A callable Russian option
is a contract in which both of the seller and the buyer have the rights to cancel and to exercise at any time,
respectively. The pricing of such an option can be formulated as an optimal stopping problem between the
seller and the buyer, and is analyzed as Dynkin game. We derive the value function of callable Russian
options and their optimal boundaries.