Options on a traded account: Vacation calls, vacation puts and passport options
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Publication:5926467
DOI10.1007/s007800050073zbMath0997.91020MaRDI QIDQ5926467
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
Hamilton-Jacobi-Bellman equation; comparison theorem; hedging; passport options; put-call parity; stochastic control; vacation options
91B70: Stochastic models in economics
60H30: Applications of stochastic analysis (to PDEs, etc.)
60G44: Martingales with continuous parameter
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