Options on a traded account: Vacation calls, vacation puts and passport options
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- repec:spr:joptap:v:161:y:2014:i:1:d:10.1007_s10957-013-0382-9 is not listed on IDEAS
- repec:wsi:ijtafx:v:20:y:2017:i:04:n:s021902491750025x is not listed on IDEAS
- Mahayni, Antje & Schoenmakers, John G.M., 2011. "Minimum return guarantees with fund switching rights—An optimal stopping problem," Journal of Economic Dynamics and Control, Elsevier, vol. 35(11), pages 1880-1897.
- Manuel Moreno & Javier F. Navas, 2008. "Australian Options," Australian Journal of Management, Australian School of Business, vol. 33(1), pages 69-93, June.
- Hyungsok Ahn & Antony Penaud & Paul Wilmott, 1999. "Various passport options and their valuation," Applied Mathematical Finance, Taylor & Francis Journals, vol. 6(4), pages 275-292.
- Mark Broadie & Jerome B. Detemple, 2004. "ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications," Management Science, INFORMS, vol. 50(9), pages 1145-1177, September.
- Boyle, Phelim & Potapchik, Alexander, 2008. "Prices and sensitivities of Asian options: A survey," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 189-211, February.
More about this item
KeywordsPassport options; Vacation options; Stochastic control; Hamilton-Jacobi-Bellman equation; Comparison theorem; Put-call parity; Hedging;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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