PASSPORT OPTIONS

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. Copyright 2002 Blackwell Publishers.

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Year of publication:	2002
Authors:	Delbaen, Freddy ; Yor, Marc
Published in:	Mathematical Finance. - Wiley Blackwell, ISSN 0960-1627. - Vol. 12.2002, 4, p. 299-328
Publisher:	Wiley Blackwell

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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