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- Title
Exotic Passport Options.
- Authors
Penaud, Antony; Wilmott, Paul; Ahn, Hyungsok
- Abstract
The Vanilla Passport Option is an insurance against trading loss. In this paper, we add various exotic features to the Vanilla contract and price the resulting financial products. The assumptions that we make are the same as the Black-Scholes ones and the resulting pricing equations are Hamilton-Jacobi-Bellman type equations or parabolic free boundary PDE's which can be solved via finite difference methods.
- Subjects
IDENTIFICATION documents; BUSINESS income insurance; CONTRACTS; MONEY market; MARKETING research; MARKETING strategy -- Methodology
- Publication
Asia-Pacific Financial Markets, 1999, Vol 6, Issue 2, p171
- ISSN
1387-2834
- Publication type
Article
- DOI
10.1023/A:1010093029306