Various passport options and their valuation

DOI10.1080/13504869950079293zbMath1009.91038OpenAlexW1981634089MaRDI QIDQ4541582

Hyungsok Ahn, Paul Wilmott, Antony Penaud

Publication date: 5 September 2002

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

Full work available at URL: https://doi.org/10.1080/13504869950079293

zbMATH Keywords

investorslinear complementary problempassport optionpricing equations

Mathematics Subject Classification ID

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Cites Work

• Unnamed Item
• Exotic passport options
• Martingales and stochastic integrals in the theory of continuous trading
• Optimal stopping and free boundary problems
• Local time, coupling and the passport option
• PASSPORT OPTIONS