Bottleneck options
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DOI: 10.1007/s00780-013-0222-7
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References listed on IDEAS
- Peter Carr & Liuren Wu, 2003.
"The Finite Moment Log Stable Process and Option Pricing,"
Journal of Finance, American Finance Association, vol. 58(2), pages 753-777, April.
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- L. Alili & A. E. Kyprianou, 2005. "Some remarks on first passage of Levy processes, the American put and pasting principles," Papers math/0508487, arXiv.org.
- repec:bla:jfinan:v:58:y:2003:i:2:p:753-778 is not listed on IDEAS
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Cited by:
- Neofytos Rodosthenous & Mihail Zervos, 2017. "Watermark options," Finance and Stochastics, Springer, vol. 21(1), pages 157-186, January.
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More about this item
Keywords
Bottleneck option; Optimal stopping; Principle of smooth and continuous fit; Lévy processes; Scale functions; 60G40; 60G51; 60J75; G13;All these keywords.
JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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