Bottleneck options (Q2255011)
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scientific article; zbMATH DE number 6399110
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Bottleneck options |
scientific article; zbMATH DE number 6399110 |
Statements
Bottleneck options (English)
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6 February 2015
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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)]).
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financial market
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bottleneck options
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optimal stopping
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Lévy processes
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scale functions
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0.7688866
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0.75668395
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0.7494738
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0.7494738
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0.74935687
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