scientific article; zbMATH DE number 1310349

MaRDI QIDQ4254411zbMATH OpenFDO

Authors Izumi Nagayama

Publication date 29 November 1999

zbMATH Keywords

approximation theorempassport optionsstochastic analytic approachvalue function

Mathematics Subject Classification ID

Local time and additive functionals (60J55)

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(13)

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• The valuation of American passport options: a viscosity solution approach
• Pricing European passport option with radial basis function
• Viscosity solutions of integro-differential equations and passport options in a jump-diffusion model
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• Minimum return guarantees with fund switching rights -- an optimal stopping problem
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• Pricing and estimates of Greeks for passport option: A three time level approach

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