Bottleneck options
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Recommendations
- Publication:3471838
- Optimal improvements in bottleneck systems
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- Bottleneck capacity expansion problems with general budget constraints
- Quadratic bottleneck problems
Cites work
- 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?)
- 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
- Introductory lectures on fluctuations of Lévy processes with applications.
- Mittag-Leffler stability of fractional order nonlinear dynamic systems
- Optimal Stopping Rules
- Optimal stopping of the maximum process: The maximality principle
- Optimal stopping problems for the maximum process with upper and lower caps
- 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
- \(\pi \) options
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