Bottleneck options (Q2255011): Difference between revisions

Mathematical modelling of financial markets leading to optimal stopping has already been done by the author [Ann. Appl. Probab. 23, No. 6, 2327--2356 (2013; Zbl 1290.60048)]. Here, the author deals with a financial market consisting of riskless and a risky asset, whose price is suitably modelled by a positive stochastic process. The bottleneck options are treated in the context of optimal stopping problems, as for instance the so-called McKean optimal stopping problem (see [\textit{H. McKean}, ``Appendix: a free boundary problem for the heat equation arising from a problem of mathematical economics'', Ind. Manage. Rev. 6, 32--39 (1965)]).