Henderson, Vicky; Hobson, David - In: Finance and Stochastics 4 (2000) 1, pp. 69-80
A passport option, as introduced and marketed by Bankers Trust, is a call option on the balance of a trading account …. The strategy that this account follows is chosen by the option holder, subject to position limits. <p>We derive a … simplified form for the price of the passport option using local time. A key insight is that Tanaka's formula and the Skorokhod …