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...

Intro -- The Money Formula -- Contents -- Acknowledgements -- About the Authors -- Introduction -- 1 Early Models -- Monetary Alchemy -- Gold Standard -- The Systems of Nature -- Rational Mechanics -- Finding Equilibrium -- Intrinsic Value -- 2 Going Random -- Theory of Speculation -- Efficient...

There are two types of Asian options in the financial markets which differ according to the role of the average price. We give a symmetry result between the floating and fixed-strike Asian options. The proof involves a change of numeraire and time reversal of the Brownian motion. Symmetries are...

Non-U.S. firms frequently pay a substantial premium to have a U.S. bank lead their initial public offering of equity, even when the issuing firm is not seeking a listing on a U.S. exchange. We provide evidence that this decision reflects an expectation that U.S. banks deliver a higher quality...

We discuss the Monte-Carlo valuation of American options, using a technique due to Rogers which furnishes an upper bound. The method is illustrated and possible improvements to its accuracy are considered.