Pricing and estimates of Greeks for passport option: A three time level approach

DOI10.1016/J.CAM.2016.10.027MaRDI QIDQ729847zbMATH OpenOpenAlexFDO

Authors Ankur Kanaujiya, Siddhartha P. Chakrabarty

Publication date 22 December 2016

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2016.10.027

zbMATH Keywords

Greekspassport optionthree time level scheme

Mathematics Subject Classification ID

Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• Valuation of American passport option using a three-time level scheme
• scientific article; zbMATH DE number 1310349
• Various passport options and their valuation
• scientific article; zbMATH DE number 1642345
• Pricing European passport option with radial basis function

Cites work

• Exotic passport options
• scientific article; zbMATH DE number 3921884 (Why is no real title available?)
• scientific article; zbMATH DE number 1243617 (Why is no real title available?)
• scientific article; zbMATH DE number 1310349 (Why is no real title available?)
• scientific article; zbMATH DE number 3250158 (Why is no real title available?)
• Local time, coupling and the passport option
• Optimal Strategies of Passport Options
• Options on a traded account: Vacation calls, vacation puts and passport options
• PASSPORT OPTIONS
• Passport options with stochastic volatility
• Various passport options and their valuation
• Viscosity solutions of HJB equations arising from the valuation of European passport options

Cited in

(4)

• Valuation of American passport option using a three-time level scheme
• Options on a traded account: symmetric treatment of the underlying assets
• An efficient and robust computational approach to passport option pricing PDEs
• An adaptive mesh based computational approach to the option price and their greeks in time fractional Black-Scholes framework

Describes a project that uses

Uses Software

• PATH Solver

This page was built for publication: Pricing and estimates of Greeks for passport option: A three time level approach

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q729847)