PASSPORT OPTIONS

DOI10.1111/j.1467-9965.2002.tb00126.xzbMath1048.91063OpenAlexW4247072500MaRDI QIDQ4419297

Freddy Delbaen, Marc Yor

Publication date: 13 August 2003

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2002.tb00126.x

zbMATH Keywords

Bessel processesmartingale inequalitiesfinancial derivativestime transforms

Mathematics Subject Classification ID

Related Items (10)

Various passport options and their valuation ⋮ The spectral representation of Bessel processes with constant drift: applications in queueing and finance ⋮ Some properties of Legendre polynomials and an approximate solution of the Black-Scholes equation governing option pricing ⋮ Minimum return guarantees with fund switching rights -- an optimal stopping problem ⋮ Generalisation of Hajek's stochastic comparison results to stochastic sums ⋮ CONTINUOUSLY CONTROLLED OPTIONS: DERIVATIVES WITH ADDED FLEXIBILITY ⋮ Pricing and estimates of Greeks for passport option: A three time level approach ⋮ Options on a traded account: symmetric treatment of the underlying assets ⋮ CLA’s, PLA’s and a new method for pricing general passport options ⋮ The duality of optimal exercise and domineering claims: a Doob–Meyer decomposition approach to the Snell envelope

Cites Work

• On the \(L^p\) norms of stochastic integrals and other martingales
• Local time, coupling and the passport option
• The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
• Sur certaines fonctionnelles exponentielles du mouvement brownien réel
• On some exponential functionals of Brownian motion
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• On Moment Inequalities for Stochastic Integrals
• On Stopping Times for a Wiener Process
• Options on a traded account: Vacation calls, vacation puts and passport options
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