Viscosity Solutions of Integro-Differential Equations and Passport Options in a Jump-Diffusion Model

Yang Wang (), Baojun Bian and Jizhou Zhang
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Yang Wang: Shanghai Normal University
Baojun Bian: Tongji University
Jizhou Zhang: Shanghai Normal University

Journal of Optimization Theory and Applications, 2014, vol. 161, issue 1, No 7, 122-144

Abstract: Abstract We study the viscosity solutions of integro-differential Hamilton–Jacobi–Bellman equations of degenerate parabolic type. These equations are from the pricing problem for the European passport options in a jump-diffusion model. The passport option is a call option on a trading account. We discuss the mathematical model for pricing problem. We prove the comparison principle, uniqueness and convexity preserving for the viscosity solutions of related pricing equations.

Keywords: Passport option; Jump-diffusion; Viscosity solution; Uniqueness; Convexity preserving (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s10957-013-0382-9

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