The valuation of American passport options: a viscosity solution approach

DOI10.1007/s10957-018-1411-5zbMath1419.91631WikidataQ129088573 ScholiaQ129088573MaRDI QIDQ1730402

Yang Wang, Jizhou Zhang, Baojun Bian, Zi-Jiang Yang

Publication date: 6 March 2019

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-018-1411-5

zbMATH Keywords

uniqueness; viscosity solution; optimal exercise boundary; American passport option; convexity-preserving property

Mathematics Subject Classification ID

60G40: Stopping times; optimal stopping problems; gambling theory

91G20: Derivative securities (option pricing, hedging, etc.)

49L25: Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games

Cites Work

• Viscosity solutions of HJB equations arising from the valuation of European passport options
• Exotic passport options
• Convex viscosity solutions and state constraints
• A semilinear Black and Scholes partial differential equation for valuing American options
• Local time, coupling and the passport option
• Viscosity solutions of integro-differential equations and passport options in a jump-diffusion model
• Constructing convex solutions via Perron's method
• A NEW CLASS OF COMMODITY HEDGING STRATEGIES: A PASSPORT OPTIONS APPROACH
• THE END-OF-THE-YEAR BONUS: HOW TO OPTIMALLY REWARD A TRADER?
• Viscosity Solutions of Hamilton-Jacobi Equations
• User’s guide to viscosity solutions of second order partial differential equations
• Various passport options and their valuation
• Passport options with stochastic volatility
• Options on a traded account: Vacation calls, vacation puts and passport options
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