PASSPORT OPTIONS
Author:
Publisher
Wiley
Subject
Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1467-9965.2002.tb00126.x/fullpdf
Reference24 articles.
1. The passport option
2. On the Lp norms of stochastic integrals and other martingales
3. D. Dufresne(1990 ): The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding, Scand. Actuar. J.39 -79 .
4. H. Geman, and M. Yor(1992 ): Quelques Relations entre Processus de Bessel, Options Asiatiques et Fonctions Confluentes Hypergeometriques , C.R.A.S.Paris, T. 314, Serie I, 471 -474 .
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1. Pricing passport option using higher order compact scheme;Computational and Mathematical Methods;2021-10-20
2. Options on a traded account: symmetric treatment of the underlying assets;Quantitative Finance;2019-07-23
3. Pricing and estimates of Greeks for passport option: A three time level approach;Journal of Computational and Applied Mathematics;2017-05
4. Generalisation of Hajek’s Stochastic Comparison Results to Stochastic Sums;International Journal of Stochastic Analysis;2016-09-05
5. CLA’s, PLA’s and a new method for pricing general passport options;Quantitative Finance;2014-03-25
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