Local time, coupling and the passport option

DOI10.1007/S007800050003MaRDI QIDQ1979077zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

option pricingcouplinglocal timepassport optionSkorokhod lemma

Mathematics Subject Classification ID

Diffusion processes (60J60) Sample path properties (60G17) Local time and additive functionals (60J55)

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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
• Pricing and estimates of Greeks for passport option: A three time level approach
• An explicit formula for the Skorokhod map on \([0,a]\)
• 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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