Optimal Strategies of Passport Options
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Publication:3618169
DOI10.1007/978-3-540-71992-2_110zbMath1308.91164OpenAlexW89957862MaRDI QIDQ3618169
Publication date: 31 March 2009
Published in: Progress in Industrial Mathematics at ECMI 2006 (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-540-71992-2_110
Related Items (5)
Generalisation of Hajek's stochastic comparison results to stochastic sums ⋮ CONTINUOUSLY CONTROLLED OPTIONS: DERIVATIVES WITH ADDED FLEXIBILITY ⋮ Pricing European passport option with radial basis function ⋮ Pricing and estimates of Greeks for passport option: A three time level approach ⋮ Options on a traded account: symmetric treatment of the underlying assets
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