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

DOI10.1007/s007800050073zbMath0997.91020OpenAlexW2084083498MaRDI QIDQ5926467

Steven E. Shreve, Jan Večeř

Publication date: 1 March 2001

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s007800050073

zbMATH Keywords

Hamilton-Jacobi-Bellman equationcomparison theoremhedgingpassport optionsput-call paritystochastic controlvacation options

Mathematics Subject Classification ID

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THE VALUATION OF SELF-FUNDING INSTALMENT WARRANTS ⋮ Hedging Problem for Asian Call Options with Transaction Costs ⋮ Pricing Asian options in a semimartingale model ⋮ Minimum return guarantees with fund switching rights -- an optimal stopping problem ⋮ The valuation of American passport options: a viscosity solution approach ⋮ Prices and sensitivities of Asian options: A survey ⋮ Valuing Asian options using the finite element method and duality techniques ⋮ Viscosity solutions of integro-differential equations and passport options in a jump-diffusion model ⋮ A NEW CLASS OF COMMODITY HEDGING STRATEGIES: A PASSPORT OPTIONS APPROACH ⋮ European and Asian Greeks for exponential Lévy processes ⋮ The mean comparison theorem cannot be extended to the Poisson case ⋮ PASSPORT OPTIONS ⋮ Pricing European passport option with radial basis function ⋮ 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

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