Exotic passport options

DOI10.1023/A:1010093029306zbMATH Open1153.91553OpenAlexW222076095MaRDI QIDQ1000482FDOQ1000482

Authors: Antony Penaud, Paul Wilmott, Hyungsok Ahn 

Publication date: 6 February 2009

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1010093029306

Recommendations

• Various passport options and their valuation
• scientific article; zbMATH DE number 1310349
• scientific article; zbMATH DE number 1642345
• Passport options with stochastic volatility
• Valuation of American passport option using a three-time level scheme

Mathematics Subject Classification ID

Cited In (9)

• The valuation of American passport options: a viscosity solution approach
• Various passport options and their valuation
• Title not available (Why is that?)
• Pricing and estimates of Greeks for passport option: A three time level approach
• Viscosity solutions of integro-differential equations and passport options in a jump-diffusion model
• THE END-OF-THE-YEAR BONUS: HOW TO OPTIMALLY REWARD A TRADER?
• Viscosity solutions of HJB equations arising from the valuation of European passport options
• Pricing European passport option with radial basis function
• CLA's, PLA's and a new method for pricing general passport options

This page was built for publication: Exotic passport options

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1000482)