Options on a traded account: symmetric treatment of the underlying assets

DOI10.1080/14697688.2019.1634278zbMATH Open1431.91406OpenAlexW2964054221WikidataQ127445653 ScholiaQ127445653MaRDI QIDQ5215436FDOQ5215436

Authors: Jörg Kampen, Robert Navratil, Jan Vecer 

Publication date: 10 February 2020

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

Full work available at URL: https://doi.org/10.1080/14697688.2019.1634278

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zbMATH Keywords

exchange ratespartial differential equationsstochastic controlinvestment strategypassport options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with biology, chemistry and other natural sciences (35Q92) Optimal stochastic control (93E20)

Cites Work

• Options on a traded account: Vacation calls, vacation puts and passport options
• Mean stochastic comparison of diffusions
• Optimal Control of Favorable Games with a Time Limit
• Optimal Strategies of Passport Options
• PASSPORT OPTIONS
• Generalisation of Hajek's stochastic comparison results to stochastic sums
• Local time, coupling and the passport option
• Pricing and estimates of Greeks for passport option: A three time level approach
• CLA’s, PLA’s and a new method for pricing general passport options

Cited In (1)

• Options on a traded account: Vacation calls, vacation puts and passport options

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