Found 14 Documents (Results 1–14)
Pricing and estimates of Greeks for passport option: A three time level approach. (English) Zbl 1414.91413
CLA’s, PLA’s and a new method for pricing general passport options. (English) Zbl 1402.91756
MSC:
91G20
Viscosity solutions of integro-differential equations and passport options in a jump-diffusion model. (English) Zbl 1295.91094
Reviewer: Krzysztof Piasecki (Poznań)
Viscosity solutions of HJB equations arising from the valuation of European passport options. (English) Zbl 1224.91148
A new class of commodity hedging strategies: a passport options approach. (English) Zbl 1138.91448
MSC:
91B28
91B40
Passport options with stochastic volatility. (English) Zbl 1013.91046
MSC:
91B28
Passport options outside the Black Scholes world. (English) Zbl 0980.91054
Kohlmann, Michael (ed.) et al., Mathematical finance. Workshop of the mathematical finance research project, Konstanz, Germany, October 5-7, 2000. Basel: Birkhäuser. 181-193 (2001).
MSC:
91B60
91B28
Price comparison results and super-replication: An application to passport options. (English) Zbl 0972.60022
Reviewer: A.V.Swishchuk (Kyïv)
Local time, coupling and the passport option. (English) Zbl 0944.60046
Reviewer: A.V.Swishchuk (Kyïv)
Various passport options and their valuation. (English) Zbl 1009.91038
MSC:
91B28
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