CLA’s, PLA’s and a new method for pricing general passport options

DOI10.1080/14697688.2014.882011zbMath1402.91756OpenAlexW2025333569MaRDI QIDQ5245459

Hamish Malloch, Peter W. Buchen

Publication date: 8 April 2015

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2014.882011

zbMATH Keywords

passport optionsmethod of imagesbarrier and lookback optionsvacation call and puts

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Pricing European passport option with radial basis function ⋮ Options on a traded account: symmetric treatment of the underlying assets

Cites Work

• The Pricing of Options and Corporate Liabilities
• Predictability and unpredictability in financial markets
• Exotic passport options
• Local time, coupling and the passport option
• Mean stochastic comparison of diffusions
• A NEW METHOD OF PRICING LOOKBACK OPTIONS
• PASSPORT OPTIONS
• Various passport options and their valuation
• Passport options with stochastic volatility
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
• Options on a traded account: Vacation calls, vacation puts and passport options

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