Local time, coupling and the passport option
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Publication:1979077
DOI10.1007/S007800050003zbMATH Open0944.60046OpenAlexW1989045387MaRDI QIDQ1979077FDOQ1979077
Authors: Vicky Henderson, David Hobson 
Publication date: 24 May 2000
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s007800050003
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Diffusion processes (60J60) Sample path properties (60G17) Local time and additive functionals (60J55)
Cited In (13)
- Price comparison results and super-replication: An application to passport options
- The valuation of American passport options: a viscosity solution approach
- Various passport options and their valuation
- An explicit formula for the Skorokhod map on \([0,a]\)
- 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
- Minimum return guarantees with fund switching rights -- an optimal stopping problem
- Pricing European passport option with radial basis function
- CLA's, PLA's and a new method for pricing general passport options
- PASSPORT OPTIONS
- Passport options with stochastic volatility
- Options on a traded account: Vacation calls, vacation puts and passport options
- Options on a traded account: symmetric treatment of the underlying assets
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