Price comparison results and super-replication: An application to passport options

DOI<297::AID-ASMB420>3.0.CO;2-M 10.1002/1526-4025(200010/12)16:4<297::AID-ASMB420>3.0.CO;2-MzbMath0972.60022OpenAlexW2027517871MaRDI QIDQ2722281

Vicky Henderson

Publication date: 11 July 2001

Full work available at URL: https://doi.org/10.1002/1526-4025(200010/12)16:4<297::aid-asmb420>3.0.co;2-m

zbMATH Keywords

diffusionstochastic volatilitycomparison theoremspassport optioncoupling path dependent options

Mathematics Subject Classification ID

Related Items (1)

Passport options with stochastic volatility

Cites Work

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