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...</p>

The aim of this article is to find bounds on the prices of exotic derivatives, and in particular the lookback option, in terms of the (market) prices of call options. This is achieved without making explicit assumptions about the dynamics of the price process of the underlying asset, but rather...

<Para ID="Par1">This paper considers exponential utility indifference pricing for a multidimensional non-traded assets model, and provides two linear approximations for the utility indifference price. The key tool is a probabilistic representation for the utility indifference price by the solution of a...</para>

A variance swap is a derivative with a path-dependent payoff which allows investors to take positions on the future variability of an asset. In the idealised setting of a continuously monitored variance swap written on an asset with continuous paths, it is well known that the variance swap...

In this article we are interested in option pricing in markets with bubbles. A bubble is defined to be a price process which, when discounted, is a local martingale under the risk-neutral measure but not a martingale. We give examples of bubbles both where volatility increases with the price...

<Para ID="Par1">We consider the problem of giving a robust, model-independent, lower bound on the price of a forward starting straddle with payoff <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$|F_{T_{1}} - F_{T_{0}}|$</EquationSource> </InlineEquation>, where 0T <Subscript>0</Subscript>T <Subscript>1</Subscript>. Rather than assuming a model for the underlying forward price (F <Subscript> t </Subscript>)<Subscript> t≥0</Subscript>, we assume that call prices for maturities T...</subscript></subscript></subscript></subscript></subscript></equationsource></inlineequation></para>