PASSPORT OPTIONS

Freddy Delbaen · Marc Yor

22 citations0/0 files storedMathematical Finance

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Probability and Statistical Research Probability and Risk Models

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.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 22 citations exist upstream.

References

1991Continuous Martingales and Brownian Motion 1990Stochastic Integration and Differential Equations 1993BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES 1990The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding 1992On some exponential functionals of Brownian motion 1976On the Lp norms of stochastic integrals and other martingales 1992Sur certaines fonctionnelles exponentielles du mouvement brownien réel 1971On Moment Inequalities for Stochastic Integrals

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.