A NEW CLASS OF COMMODITY HEDGING STRATEGIES: A PASSPORT OPTIONS APPROACH

DOI10.1142/S0219024902001390zbMath1138.91448OpenAlexW2086824076MaRDI QIDQ3022043

Vicky Henderson, Glenn Kentwell, David G. Hobson

Publication date: 22 June 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024902001390

zbMATH Keywords

hedgingoption pricingfuturesforward contractcommoditiesPassport options

Mathematics Subject Classification ID

Related Items (2)

The valuation of American passport options: a viscosity solution approach ⋮ Viscosity solutions of integro-differential equations and passport options in a jump-diffusion model

Cites Work

• Various passport options and their valuation
• Passport options with stochastic volatility
• Options on a traded account: Vacation calls, vacation puts and passport options

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