Passport Options

2010 ◽  
Author(s):  
Vicky Henderson
Keyword(s):  
Passport Options

CLA’s, PLA’s and a new method for pricing general passport options

2014 ◽  
Vol 14 (7) ◽  
pp. 1201-1209 ◽  
Author(s):  
Peter Buchen ◽  
Hamish Malloch
Keyword(s):  
New Method ◽  
Passport Options

scholarly journals Generalisation of Hajek’s Stochastic Comparison Results to Stochastic Sums

2016 ◽  
Vol 2016 ◽  
pp. 1-6 ◽  
Author(s):  
Jörg Kampen
Keyword(s):  
Optimal Control ◽  
Optimal Control Problems ◽  
Jump Processes ◽  
Control Problems ◽  
Stochastic Comparison ◽  
Comparison Result ◽  
Comparison Results ◽  
General Data ◽  
Passport Options

Hajek’s univariate stochastic comparison result is generalised to multivariate stochastic sum processes with univariate convex data functions and for univariate monotonic nondecreasing convex data functions for processes with and without drift, respectively. As a consequence strategies for a class of multivariate optimal control problems can be determined by maximizing variance. An example is passport options written on multivariate traded accounts. The argument describes a narrow path between impossibilities of generalisations to jump processes or impossibilities of more general data functions.

Options on a traded account: Vacation calls, vacation puts and passport options

2000 ◽  
Vol 4 (3) ◽  
pp. 255-274 ◽  
Author(s):  
Steven E. Shreve ◽  
Jan Večeř
Keyword(s):  
Passport Options

Various passport options and their valuation

1999 ◽  
Vol 6 (4) ◽  
pp. 275-292 ◽  
Author(s):  
Hyungsok Ahn ◽  
Antony Penaud ◽  
Paul Wilmott
Keyword(s):  
Passport Options
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