Exotic Passport Options |
| |
| Authors: | Antony Penaud Paul Wilmott Hyungsok Ahn |
| |
| Affiliation: | (1) Mathematical Finance Group, Mathematical Institute, University of Oxford, 24-29 St. Giles, Oxford, OX1 3LB, U.K. |
| |
| 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. |
| |
| Keywords: | free boundary PDE's Hamilton-Jacobi-Bellman equation passport option |
| 本文献已被 SpringerLink 等数据库收录！ |
|
