PASSPORT OPTIONS |
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| Authors: | Freddy Delbaen Marc Yor |
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| Institution: | Eidgenössische Technische Hochschule, Zürich;Luhoratoire de Prohnhilités. Unhersiti Pierre et Murie Curie, Paris |
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| Abstract: | We relate the theory of passport options with general principles from martingale theory as well as with the theory of Bessel processcs. The calculation of the price of a passport option leads to an equality between two norms on continuous martingales. We also solve the discrete time case for passport options. |
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| Keywords: | Bessel processes financial derivatives martingale inequalities passport option time transforms |
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