The valuation of American passport options: a viscosity solution approach
DOI10.1007/S10957-018-1411-5zbMath1419.91631OpenAlexW2897088789WikidataQ129088573 ScholiaQ129088573MaRDI QIDQ1730402
Yang Wang, Jizhou Zhang, Baojun Bian, Zi-Jiang Yang
Publication date: 6 March 2019
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10957-018-1411-5
uniquenessviscosity solutionoptimal exercise boundaryAmerican passport optionconvexity-preserving property
Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
Cites Work
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- Constructing convex solutions via Perron's method
- A NEW CLASS OF COMMODITY HEDGING STRATEGIES: A PASSPORT OPTIONS APPROACH
- THE END-OF-THE-YEAR BONUS: HOW TO OPTIMALLY REWARD A TRADER?
- Viscosity Solutions of Hamilton-Jacobi Equations
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- Various passport options and their valuation
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