Ahn, Hyungsok; Penaud, Antony; Wilmott, Paul - In: Applied Mathematical Finance 6 (1999) 4, pp. 275-292
The passport option is a call option on the balance of a trading account. The option holder retains the gain from trading, while the writer is liable for the loss. Multi-asset passport options and passport options with discrete constraints are studied. For the first ones the pricing equations...
