Bottleneck options
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Publication:2255011
DOI10.1007/S00780-013-0222-7zbMATH Open1318.60045OpenAlexW3189863870MaRDI QIDQ2255011FDOQ2255011
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
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Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80)
Cites Work
- Sequential testing problems for Poisson processes.
- Introductory lectures on fluctuations of Lévy processes with applications.
- Optimal stopping of the maximum process: The maximality principle
- Title not available (Why is that?)
- Title not available (Why is that?)
- The Russian option: Reduced regret
- Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
- A capped optimal stopping problem for the maximum process
- Discounted optimal stopping problems for the maximum process
- Some optimal stopping problems with nontrivial boundaries for pricing exotic options
- Optimal stopping problems for the maximum process with upper and lower caps
- Title not available (Why is that?)
- Discounted Optimal Stopping for Maxima of Some Jump-Diffusion Processes
- Mittag-Leffler stability of fractional order nonlinear dynamic systems
- \(\pi \) options
- The theory of scale functions for spectrally negative Lévy processes
- Stochastic Integration with Jumps
- Some remarks on first passage of Lévy processes, the American put and pasting principles
- Optimal Stopping Rules
- Prime ideals of ore extensions
Cited In (2)
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