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

DOI10.1080/14697688.2019.1634278MaRDI QIDQ5215436zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

exchange ratesinvestment strategypartial differential equationspassport optionsstochastic control

Mathematics Subject Classification ID

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

Recommendations

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Cites work

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

Cited in

(1)

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

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