scientific article; zbMATH DE number 1310349

zbMath0927.91011MaRDI QIDQ4254411

Izumi Nagayama

Publication date: 29 November 1999

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

passport optionsvalue functionapproximation theoremstochastic analytic approach

Mathematics Subject Classification ID

Local time and additive functionals (60J55)

Related Items (5)

Minimum return guarantees with fund switching rights -- an optimal stopping problem ⋮ The valuation of American passport options: a viscosity solution approach ⋮ Viscosity solutions of integro-differential equations and passport options in a jump-diffusion model ⋮ Pricing European passport option with radial basis function ⋮ Pricing and estimates of Greeks for passport option: A three time level approach

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