A NEW CLASS OF COMMODITY HEDGING STRATEGIES: A PASSPORT OPTIONS APPROACH

DOI10.1142/S0219024902001390MaRDI QIDQ3022043zbMATH OpenOpenAlexFDO

Authors Vicky Henderson, Glenn Kentwell, David Hobson

Publication date 22 June 2005

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024902001390

zbMATH Keywords

commoditiesforward contractfutureshedgingoption pricingPassport options

Mathematics Subject Classification ID

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Cites work

• Options on a traded account: Vacation calls, vacation puts and passport options
• Passport options with stochastic volatility
• Various passport options and their valuation

Cited in

(2)

• The valuation of American passport options: a viscosity solution approach
• Viscosity solutions of integro-differential equations and passport options in a jump-diffusion model

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