Bottleneck options

DOI10.1007/s00780-013-0222-7zbMath1318.60045OpenAlexW3189863870MaRDI QIDQ2255011

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

Lévy processesoptimal stoppingscale functionsfinancial marketbottleneck options

Mathematics Subject Classification ID

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

Related Items

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

Uses Software

• Matlab
• Mittag-Leffler
• mlf

Cites Work

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• \(\pi \) options
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• Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
• Sequential testing problems for Poisson processes.
• A capped optimal stopping problem for the maximum process
• Introductory lectures on fluctuations of Lévy processes with applications.
• Some remarks on first passage of Lévy processes, the American put and pasting principles
• Discounted optimal stopping problems for the maximum process
• Some optimal stopping problems with nontrivial boundaries for pricing exotic options
• The Theory of Scale Functions for Spectrally Negative Lévy Processes
• Prime ideals of ore extensions
• Stochastic Integration with Jumps
• Optimal Stopping Rules
• Discounted Optimal Stopping for Maxima of Some Jump-Diffusion Processes

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