Various passport options and their valuation

Author:

Ahn Hyungsok,Penaud Antony,Wilmott Paul

Publisher

Informa UK Limited

Subject

Applied Mathematics,Finance

Reference14 articles.

Cited by 16 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献

1. Pricing passport option using higher order compact scheme;Computational and Mathematical Methods;2021-10-20

2. Time consistent pricing of options with embedded decisions;Review of Derivatives Research;2019-05-04

3. The Valuation of American Passport Options: A Viscosity Solution Approach;Journal of Optimization Theory and Applications;2018-10-13

4. Pricing and estimates of Greeks for passport option: A three time level approach;Journal of Computational and Applied Mathematics;2017-05

5. Pricing European Passport Option with Radial Basis Function;International Journal of Applied and Computational Mathematics;2016-09-07

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