Options on a traded account: Vacation calls, vacation puts and passport options

DOI10.1007/s007800050073zbMath0997.91020OpenAlexW2084083498MaRDI QIDQ5926467

Steven E. Shreve, Jan Večeř

Publication date: 1 March 2001

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s007800050073

zbMATH Keywords

Hamilton-Jacobi-Bellman equationcomparison theoremhedgingpassport optionsput-call paritystochastic controlvacation options

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44)

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