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.
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Journal of Finance, American Finance Association, vol. 58(2), pages 753-777, April.
- Peter Carr & Liuren Wu, 2002. "The Finite Moment Log Stable Process and Option Pricing," Finance 0207012, University Library of Munich, Germany.
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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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