Passport options with stochastic volatility

DOI10.1080/13504860110068863zbMath1013.91046OpenAlexW2125902422MaRDI QIDQ4541603

Vicky Henderson, David G. Hobson

Publication date: 5 September 2002

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860110068863

zbMATH Keywords

stochastic volatilityoption pricingpassport optionHull and White model

Mathematics Subject Classification ID

Related Items (8)

The valuation of American passport options: a viscosity solution approach ⋮ Generalisation of Hajek's stochastic comparison results to stochastic sums ⋮ Viscosity solutions of integro-differential equations and passport options in a jump-diffusion model ⋮ A NEW CLASS OF COMMODITY HEDGING STRATEGIES: A PASSPORT OPTIONS APPROACH ⋮ Pricing European passport option with radial basis function ⋮ Pricing and estimates of Greeks for passport option: A three time level approach ⋮ CLA’s, PLA’s and a new method for pricing general passport options ⋮ Darboux points and integrability of Hamiltonian systems with homogeneous polynomial potential

Cites Work

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• Local time, coupling and the passport option
• Price comparison results and super-replication: An application to passport options
• Option Pricing Under Incompleteness and Stochastic Volatility
• Various passport options and their valuation
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach

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