Pricing and estimates of Greeks for passport option: A three time level approach

DOI10.1016/J.CAM.2016.10.027zbMath1414.91413OpenAlexW2555129672MaRDI QIDQ729847

Siddhartha P. Chakrabarty, Ankur Kanaujiya

Publication date: 22 December 2016

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2016.10.027

zbMATH Keywords

Greekspassport optionthree time level scheme

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Options on a traded account: symmetric treatment of the underlying assets ⋮ Valuation of American passport option using a three-time level scheme

Uses Software

• PATH Solver

Cites Work

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• Viscosity solutions of HJB equations arising from the valuation of European passport options
• Exotic passport options
• Local time, coupling and the passport option
• Optimal Strategies of Passport Options
• PASSPORT OPTIONS
• 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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