Viscosity solutions of integro-differential equations and passport options in a jump-diffusion model (Q2247919)

The main goal of the reviewed paper is to give a pricing analysis for European passport options in a jump-diffusion model by a viscosity approach. The equation for the European passport option with jump-diffusion processes is established using the dynamic programming principle. The authors prove the comparison principle of the viscosity solutions, the uniqueness follows from the comparison principle. At the end, convexity preserving properties are investigated for the viscosity solutions.