Bottleneck options

DOI10.1007/S00780-013-0222-7MaRDI QIDQ2255011zbMATH OpenOpenAlexFDO

Authors Curdin Ott

Publication date 6 February 2015

Published in Finance and Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00780-013-0222-7

zbMATH Keywords

bottleneck optionsfinancial marketLévy processesoptimal stoppingscale functions

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Processes with independent increments; Lévy processes (60G51) Financial applications of other theories (91G80)

Review text

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)]).

Recommendations

• Publication:3471838
• Optimal improvements in bottleneck systems
• Generalized Bottleneck Problems^∗
• Option bounds
• Bottlenecks in dendroids
• Bottleneck routing with elastic demands
• Bottleneck routing with elastic demands
• Bottleneck capacity expansion problems with general budget constraints
• Quadratic bottleneck problems

Cites work

• \(\pi \) options
• A capped optimal stopping problem for the maximum process
• Discounted Optimal Stopping for Maxima of Some Jump-Diffusion Processes
• Discounted optimal stopping problems for the maximum process
• Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
• scientific article; zbMATH DE number 5016447 (Why is no real title available?)
• scientific article; zbMATH DE number 1227086 (Why is no real title available?)
• scientific article; zbMATH DE number 796441 (Why is no real title available?)
• Introductory lectures on fluctuations of Lévy processes with applications.
• Mittag-Leffler stability of fractional order nonlinear dynamic systems
• Optimal stopping of the maximum process: The maximality principle
• Optimal stopping problems for the maximum process with upper and lower caps
• Optimal Stopping Rules
• Prime ideals of ore extensions
• Sequential testing problems for Poisson processes.
• Some optimal stopping problems with nontrivial boundaries for pricing exotic options
• Some remarks on first passage of Lévy processes, the American put and pasting principles
• Stochastic Integration with Jumps
• The Russian option: Reduced regret
• The theory of scale functions for spectrally negative Lévy processes

Cited in

(2)

• An optimal stopping problem for spectrally negative Markov additive processes
• Watermark options

Describes a project that uses

Uses Software

• mlf
• Matlab
• Mittag-Leffler

This page was built for publication: Bottleneck options

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2255011)