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The passport option
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The passport option (1998)The passport optionAn Efficient Transform Method for Asian Option Pricing (2016)An Efficient Transform Method…Variable annuities and the option to seek risk: Why should you diversify? (2012)Variable annuities and the op…Numerical Methods for Nonlinear PDEs in Finance (2011)Numerical Methods for Nonline…The Effect of the Real Option to Transfer on the Value of Guaranteed Minimum Death Benefits (2006)The Effect of the Real Option…Hedging with a correlated asset: Solution of a nonlinear pricing PDE (2006)Hedging with a correlated ass…Can anyone solve the smile problem? (2004)Can anyone solve the smile pr…PASSPORT OPTIONS (2002)PASSPORT OPTIONSPassport options with stochastic volatility (2001)Passport options with stochas…Local time, coupling and the passport option (2000)Local time, coupling and the …Various passport options and their valuation (1999)Various passport options and …Predictability and unpredictability in financial markets (1999)Predictability and unpredicta…The Pricing of Options and Corporate Liabilities (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The journal of financial economics (1993)Hedging of Credit Derivatives in Models with Totally Unexpected Default (2006)Martingales and stochastic integrals in the theory of continuous trading (1981)Controlled Markov Processes and Viscosity Solutions (2005)Brownian Motion and Stochastic Calculus (2007)Continuous Martingales and Brownian Motion (1999)Coupling and option price comparisons in a jump-diffusion model (2003)Option Pricing and Replication with Transactions Costs (1985)Pricing and hedging derivative securities in markets with uncertain volatilities (1995)Financial Modelling with Jump Processes (2003)Efficient numerical Fourier methods for coupled forward–backward SDEs (2015)Notes on Uncertainty, Unintended Consequences and Everything Else (2016)A Theory of the Term Structure of Interest Rates (1985)Stochastic Analysis of Jump-Diffusions for Financial Log-Return Processes (2007)Theory of Rational Option Pricing (1973)Options, Futures and Other Derivatives (2003)Theory of rational option pricing (2005)Analytic solution for ratchet guaranteed minimum death benefit options under a variety of mortality laws (2014)Geometric stopping of a random walk and its applications to valuing equity-linked death benefits (2015)Pricing equity-linked death benefits by complex Fourier series expansion in a regime-switching jump diffusion model (2021)The Variance Gamma (V.G.) Model for Share Market Returns (1990)Processes of normal inverse Gaussian type (1997)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Robust barrier option pricing by frame projection under exponential Lévy dynamics (2017)Static hedging and pricing of exotic options with payoff frames (2018)Static and Semi-Static Hedging as Contrarian or Conformist Bets (2019)Stochastic Integration and Differential Equations (1990)Continuous Martingales and Brownian Motion (1991)BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES (1993)Markov Decision Processes in Finance and Dynamic Options (2002)Numerical Methods for Stochastic Control Problems in Continuous Time (1990)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation (2000)Optimal Portfolio Execution Using Market and Limit Orders (2012)An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit (2015)A computational method to price with transaction costs under the nonlinear Black–Scholes model (2019)
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Cited by

  • 2016An Efficient Transform Method for Asian Option Pricing50 cited
  • 2011Numerical Methods for Nonlinear PDEs in Finance43 cited
  • 2000Local time, coupling and the passport option40 cited
  • 2004Can anyone solve the smile problem?31 cited
  • 2006The Effect of the Real Option to Transfer on the Value of Guaranteed Minimum Death Benefits30 cited
  • 1999Predictability and unpredictability in financial markets30 cited
  • 2006Hedging with a correlated asset: Solution of a nonlinear pricing PDE25 cited
  • 1999Various passport options and their valuation24 cited
  • 2001Passport options with stochastic volatility22 cited
  • 2002PASSPORT OPTIONS22 cited
  • 2012Variable annuities and the option to seek risk: Why should you diversify?19 cited

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