Bottleneck Options
dc.contributor.author
Ott, Curdin
dc.date.accessioned
2021-05-01T08:14:24Z
dc.date.available
2017-06-10T22:55:52Z
dc.date.available
2021-05-01T08:14:24Z
dc.date.issued
2014-10
dc.identifier.issn
0949-2984
dc.identifier.issn
1432-1122
dc.identifier.other
10.1007/s00780-013-0222-7
en_US
dc.identifier.uri
http://hdl.handle.net/20.500.11850/73452
dc.identifier.doi
10.3929/ethz-b-000073452
dc.description.abstract
In the spirit of Kyprianou and Ott (in Acta Appl. Math., to appear, 2013) and Ott (in Ann. Appl. Probab. 23:2327–2356, 2013) we consider an option whose payoff corresponds to a capped American lookback option with floating strike and solve the associated pricing problem (an optimal stopping problem) in a financial market whose price process is modelled by an exponential spectrally negative Lévy process. Despite the simple interpretation of the cap as a moderation of the payoff, it turns out that the optimal strategy to exercise the option looks very different compared to the situation without a cap. In fact, we show that the continuation region has a feature that resembles a bottleneck and hence the name “bottleneck option”.
en_US
dc.format
application/pdf
en_US
dc.language.iso
en
en_US
dc.publisher
Springer
en_US
dc.rights.uri
http://rightsstatements.org/page/InC-NC/1.0/
dc.subject
Bottleneck option
en_US
dc.subject
Optimal stopping
en_US
dc.subject
Principle of smooth and continuous fit
en_US
dc.subject
Lévy processes
en_US
dc.subject
Scale functions
en_US
dc.title
Bottleneck Options
en_US
dc.type
Journal Article
dc.rights.license
In Copyright - Non-Commercial Use Permitted
dc.date.published
2013-12-05
ethz.journal.title
Finance and Stochastics
ethz.journal.volume
18
en_US
ethz.journal.issue
4
en_US
ethz.journal.abbreviated
Finance stoch.
ethz.pages.start
845
en_US
ethz.pages.end
872
en_US
ethz.version.deposit
publishedVersion
en_US
ethz.notes
It was possible to publish this article open access thanks to a Swiss National Licence with the publisher.
en_US
ethz.identifier.wos
ethz.identifier.scopus
ethz.publication.place
Berlin
en_US
ethz.publication.status
published
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03288 - Embrechts, Paul (emeritus) / Embrechts, Paul (emeritus)
en_US
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03288 - Embrechts, Paul (emeritus) / Embrechts, Paul (emeritus)
ethz.date.deposited
2017-06-10T22:56:16Z
ethz.source
ECIT
ethz.identifier.importid
imp5936511becb0b17462
ethz.ecitpid
pub:116369
ethz.eth
yes
en_US
ethz.availability
Open access
en_US
ethz.rosetta.installDate
2017-07-12T22:26:09Z
ethz.rosetta.lastUpdated
2022-03-29T06:59:39Z
ethz.rosetta.versionExported
true
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