PASSPORT OPTIONS

Freddy Delbaen and Marc Yor

Mathematical Finance, 2002, vol. 12, issue 4, 299-328

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.

Date: 2002
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