1. American Passport options in an exponential L\evy model. (2023). Marah, Zakaria.
   In: Papers.
   RePEc:arx:papers:2307.16649.

   Full description at Econpapers || Download paper

2. The Valuation of American Passport Options: A Viscosity Solution Approach. (2019). Yang, Zijiang ; Wang, Yang ; Zhang, Jizhou ; Bian, Baojun.
   In: Journal of Optimization Theory and Applications.
   RePEc:spr:joptap:v:180:y:2019:i:2:d:10.1007_s10957-018-1411-5.

   Full description at Econpapers || Download paper

1. Aase, K.K.: Contingent claims valuation when the security price is a combination of an Itô process and a random point process. Stoch. Process. Appl. 28(2), 185–220 (1988) .

2. Ahn, H., Dewynne, J., Hua, P., Penaud, A., Wilmott, P.: The end-of-the-year bonus: how to optimally reward a trader. Int. J. Theor. Appl. Finance 5(2), 279–306 (2002) .

3. Ahn, H., Penaud, A., Wilmott, P.: Various passport options and their valuation. Appl. Math. Finance 6(4), 275–292 (1998) .
   Paper not yet in RePEc: Add citation now
   
4. Alvarez, O., Lasry, J.-M., Lions, P.-L.: Convexity viscosity solutions and state constraints. J. Math. Pures Appl. 76(3), 265–288 (1997) .
   Paper not yet in RePEc: Add citation now
   
5. Andersen, L., Andreasen, J., Brotherton-Ratcliffe, R.: The passport option. J. Comput. Finance 1(3), 15–36 (1998) .
   Paper not yet in RePEc: Add citation now
   
6. Benth, F.E., Karlsen, H.K., Reikvam, K.: A semilinear Black and Scholes partial differential equation for valuing American options. Finance Stoch. 7(3), 277–298 (2003) .
   Paper not yet in RePEc: Add citation now
   
7. Chan, S.-S.: The valuation of American passport options. Working Paper, University of Wisconsin-Madison (1999) .
   Paper not yet in RePEc: Add citation now
   

8. Cox, J.C., Ross, S.A.: The valuation of options for alternative stochastic processes. J. Financ. Econ. 3(2), 145–166 (1976) .

9. Crandall, M.G., Ishii, H., Lions, P.-L.: User’s guide to viscosity solutions of second order partial differential equations. Bull. Am. Math. Soc. (N.S.) 27(1), 1–67 (1992) .
   Paper not yet in RePEc: Add citation now
   
10. Crandall, M.G., Lions, P.-L.: Viscosity solutions of Hamilton–Jacobi equations. Trans. Am. Math. Soc. 277(1), 1–42 (1983) .
    Paper not yet in RePEc: Add citation now
    
11. Feldman, M., McCuan, J.: Constructing convex solutions via Perron’s method. Ann. Univ. Ferrara 53(1), 65–94 (2007) .
    Paper not yet in RePEc: Add citation now
    
12. Giga, Y., Goto, S., Ishii, H., Sato, M.H.: Comparison principle and convexity preserving properties for singular degenerate parabolic equations on unbounded domains. Indiana Univ. Math. J. 40(2), 443–470 (1991) .
    Paper not yet in RePEc: Add citation now
    

13. Hendersen, V., Hobson, D.: Passport options with stochastic volatility. Appl. Math. Finance 8(2), 97–119 (2001) .

14. Henderson, V., Hobson, D., Kentwell, G.: A new class of commodity hedging strategies: a passport options approach. Int. J. Theor. Appl. Finance 5(3), 255–278 (2002) .

15. Henderson, V., Hobson, D.: Local time, coupling and the passport option. Finance Stoch. 4(1), 69–80 (2000) .
    Paper not yet in RePEc: Add citation now
    
16. Hung, P.Y.: The methods of Monte Carlo and finite difference apply to the passport options. Master’s Thesis, Providence University (2004) .
    Paper not yet in RePEc: Add citation now
    
17. Hyer, T., Lipton-Lifschitz, A., Pugachevsky, D.: Passport to success. Risk 10(9), 127–131 (1997) .
    Paper not yet in RePEc: Add citation now
    

18. Merton, R.C.: Option pricing when underlying stock returns are discontinuous. J. Financ. Econ. 3(1), 125–144 (1976) .

19. Nagayama, I.: Pricing of passport option. J. Math. Sci. Univ. Tokyo 5(4), 747–785 (1998) .
    Paper not yet in RePEc: Add citation now
    

20. Naik, V., Lee, M.: General equilibrium pricing of options on the market portfolio with discontinuous returns. Rev. Financ. Stud. 3(4), 493–521 (1990) .

21. Penaud, A., Wilmott, P., Ahn, H.: Exotic passport options. Asia-Pac. Financ. Mark. 6(2), 171–182 (1999) .
    Paper not yet in RePEc: Add citation now
    
22. Pham, H.: Optimal stopping of controlled jump diffusion processes: a viscosity solution approach. J. Math. Syst. Estim. Control 8, 1–27 (1998) .
    Paper not yet in RePEc: Add citation now
    
23. Pooley, D.: Numerical methods for nonlinear equations in option pricing. PhD Thesis, University of Waterloo (2003) .
    Paper not yet in RePEc: Add citation now
    
24. Roßberg, T.: A survey: stochastic control of jump-diffusion-processes. Working paper (2000) .
    Paper not yet in RePEc: Add citation now
    

25. Shreve, S.E., Vecer, J.: Options on a traded account: vacation calls vacation puts and passport options. Finance Stoch. 4(3), 255–274 (2000) .

26. Soner, H.M.: Controlled Markov processes, viscosity solutions and applications to mathematical finance. In: Capuzzo Dolcetta, I.C., Lions, P.L. (eds.) Viscosity Solutions and Applications, vol. 1660, pp. 134–185. Springer, Berlin (1997) .
    Paper not yet in RePEc: Add citation now
    
27. Soner, H.M.: Stochastic optimal control in finance. Working paper, Princeton University (2004) .
    Paper not yet in RePEc: Add citation now
    
28. Topper, J.: A finite element implementation of passport options. Master’s Thesis, University of Oxford (2003) .
    Paper not yet in RePEc: Add citation now
    
29. Vecer, J.: A new PDE approach for pricing arithmetic average Asian options. J. Comput. Finance 4(4), 105–113 (2001) .
    Paper not yet in RePEc: Add citation now
    
30. Yang, C., Jiang, L., Bian, B.: Free boundary and American options in a jump-diffusion model. Euro. Jnl of Applied Mathematics. 17(1), 95–127 (2006) .
    Paper not yet in RePEc: Add citation now
    

1. Hedging of Financial Derivative Contracts via Monte Carlo Tree Search. (2021). Szehr, Oleg.
   In: Papers.
   RePEc:arx:papers:2102.06274.

   Full description at Econpapers || Download paper

2. The Valuation of American Passport Options: A Viscosity Solution Approach. (2019). Yang, Zijiang ; Wang, Yang ; Zhang, Jizhou ; Bian, Baojun.
   In: Journal of Optimization Theory and Applications.
   RePEc:spr:joptap:v:180:y:2019:i:2:d:10.1007_s10957-018-1411-5.

   Full description at Econpapers || Download paper

3. Option Pricing in a Regime Switching Jump Diffusion Model. (2019). Manjarekar, Omkar ; Goswami, Anindya.
   In: Papers.
   RePEc:arx:papers:1811.11379.

   Full description at Econpapers || Download paper

4. Viscosity Solutions of Integro-Differential Equations and Passport Options in a Jump-Diffusion Model. (2014). Wang, Yang ; Zhang, Jizhou ; Bian, Baojun.
   In: Journal of Optimization Theory and Applications.
   RePEc:spr:joptap:v:161:y:2014:i:1:d:10.1007_s10957-013-0382-9.

   Full description at Econpapers || Download paper

5. A Modern View on Mertons Jump-Diffusion Model. (2011). Cheang, Gerald ; Chiarella, Carl.
   In: Research Paper Series.
   RePEc:uts:rpaper:287.

   Full description at Econpapers || Download paper

6. Profit Sharing under the Threat of Nationalization. (2010). Di Corato, Luca.
   In: Working Papers.
   RePEc:fem:femwpa:2010.5.

   Full description at Econpapers || Download paper

7. Hedge Portfolios in Markets with Price Discontinuities. (2008). GERALD H. L. CHEANG, .
   In: Research Paper Series.
   RePEc:uts:rpaper:218.

   Full description at Econpapers || Download paper

8. Heath-Jarrow-Morton modelling of longevity bonds and the risk minimization of life insurance portfolios. (2008). Barbarin, Jerome.
   In: Insurance: Mathematics and Economics.
   RePEc:eee:insuma:v:43:y:2008:i:1:p:41-55.

   Full description at Econpapers || Download paper

9. Asian options with jumps. (2006). Lin, Hsien-Jen ; Chou, Ching-Sung .
   In: Statistics & Probability Letters.
   RePEc:eee:stapro:v:76:y:2006:i:18:p:1983-1993.

   Full description at Econpapers || Download paper

10. Static Hedging of Standard Options. (2004). Wu, Liuren ; Carr, Peter.
    In: Finance.
    RePEc:wpa:wuwpfi:0409016.

    Full description at Econpapers || Download paper

11. When Does Extra Risk Strictly Increase the Value of Options?. (2004). Rasmusen, Eric.
    In: Finance.
    RePEc:wpa:wuwpfi:0409004.

    Full description at Econpapers || Download paper

12. PARAMETRIC ESTIMATION OF DIFFUSION PROCESSES SAMPLED AT FIRST EXIT TIME. (2004). Londoño, Jaime.
    In: Econometrics.
    RePEc:wpa:wuwpem:0305002.

    Full description at Econpapers || Download paper

13. A General Benchmark Model for Stochastic Jump Sizes. (2004). Platen, Eckhard ; Christensen, Morten.
    In: Research Paper Series.
    RePEc:uts:rpaper:139.

    Full description at Econpapers || Download paper

14. Local Volatility Function Models under a Benchmark Approach. (2004). Platen, Eckhard ; Heath, David.
    In: Research Paper Series.
    RePEc:uts:rpaper:124.

    Full description at Econpapers || Download paper

15. Financial Engineering with Reverse Cliquet Options. (2004). Tunaru, Radu ; Eales, Brian A..
    In: Money Macro and Finance (MMF) Research Group Conference 2004.
    RePEc:mmf:mmfc04:81.

    Full description at Econpapers || Download paper

16. Statistical Models for High Frequency Security Prices. (2004). Oomen, Roel.
    In: Econometric Society 2004 North American Winter Meetings.
    RePEc:ecm:nawm04:77.

    Full description at Econpapers || Download paper

17. Transparency, Risk Management and International Financial Fragility. (2003). merton, robert ; Giavazzi, Francesco ; Draghi, Mario.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9806.

    Full description at Econpapers || Download paper

18. Option pricing with Levy Process. (2002). Benhamou, Eric.
    In: Finance.
    RePEc:wpa:wuwpfi:0212006.

    Full description at Econpapers || Download paper

19. Parametric and Nonparametric Volatility Measurement. (2002). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:02-27.

    Full description at Econpapers || Download paper

20. The European options hedge perfectly in a Poisson-Gaussian stock market model. (2002). Mancini, C..
    In: Applied Mathematical Finance.
    RePEc:taf:apmtfi:v:9:y:2002:i:2:p:87-102.

    Full description at Econpapers || Download paper

21. Basics of electricity derivative pricing in competitive markets. (2002). Vehviläinen, Iivo ; Vehvilainen, Iivo.
    In: Applied Mathematical Finance.
    RePEc:taf:apmtfi:v:9:y:2002:i:1:p:45-60.

    Full description at Econpapers || Download paper

22. Extracting market expectations from option prices: an application to over-the-counter New Zealand dollar options. (2002). Gereben, Áron.
    In: Reserve Bank of New Zealand Discussion Paper Series.
    RePEc:nzb:nzbdps:2002/04.

    Full description at Econpapers || Download paper

23. Term premia : endogenous constraints on monetary policy. (2002). Kozicki, Sharon.
    In: Research Working Paper.
    RePEc:fip:fedkrw:rwp02-07.

    Full description at Econpapers || Download paper

24. On the Valuation of Warrants and Executive Stock Options: Pricing Formulae for Firms with Multiple Warrants/Executive Options. (2002). Darsinos, Theofanis ; Satchell, Stephen E..
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:0218.

    Full description at Econpapers || Download paper

25. The Implied Distribution for Stocks of Companies with Warrants and/or Executive Stock Options. (2002). Darsinos, Theofanis ; Satchell, Stephen E..
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:0217.

    Full description at Econpapers || Download paper

26. OPTION PRICING FOR INCOMPLETE MARKETS VIA STOCHASTIC OPTIMIZATION: TRANSACTION COSTS, ADAPTIVE CONTROL AND FORECAST. (2001). Mikhailov, Sergei ; Fedotov, Sergei.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:04:y:2001:i:01:n:s0219024901000912.

    Full description at Econpapers || Download paper

27. Implied volatility surfaces: uncovering regularities for options on financial futures. (2001). Tompkins, Robert G..
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:7:y:2001:i:3:p:198-230.

    Full description at Econpapers || Download paper

28. The pricing of derivatives on assets with quadratic volatility. (2001). Zuhlsdorff, Christian.
    In: Applied Mathematical Finance.
    RePEc:taf:apmtfi:v:8:y:2001:i:4:p:235-262.

    Full description at Econpapers || Download paper

29. Optimization of trading physics models of markets. (2001). Ingber, Lester ; Mondescu, R. P..
    In: Lester Ingber Papers.
    RePEc:lei:ingber:01ot.

    Full description at Econpapers || Download paper

30. Option Pricing with a General Marked Point Process. (2001). Prigent, Jean-Luc.
    In: Mathematics of Operations Research.
    RePEc:inm:ormoor:v:26:y:2001:i:1:p:50-66.

    Full description at Econpapers || Download paper

31. Bayesian Forecasting of Options Prices: A Natural Framework for Pooling Historical and Implied Volatiltiy Information. (2001). Darsinos, Theofanis ; Satchell, Stephen.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:0116.

    Full description at Econpapers || Download paper

32. Volatility skews and extensions of the Libor market model. (2000). Leif Andersen, Jesper Andreasen, .
    In: Applied Mathematical Finance.
    RePEc:taf:apmtfi:v:7:y:2000:i:1:p:1-32.

    Full description at Econpapers || Download paper

33. A 2 DIMENSIONAL PDE FOR DISCRETE ASIAN OPTIONS. (2000). Benhamou, Eric ; Duguet, Alexandre .
    In: Computing in Economics and Finance 2000.
    RePEc:sce:scecf0:33.

    Full description at Econpapers || Download paper

34. Accumulated Pension Collars: A Market Approach to Reducing the Risk of Investment-Based Social Security Reform. (2000). Ranguelova, Elena.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7861.

    Full description at Econpapers || Download paper

35. Pricing Upward-Only Adjusting Leases. (2000). hendershott, patric ; Ambrose, Brent ; Klosek, Malgorzata M..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7622.

    Full description at Econpapers || Download paper

36. The pitfalls in inferring risk from financial market data. (2000). Bliss, Robert R..
    In: Working Paper Series.
    RePEc:fip:fedhwp:wp-00-24.

    Full description at Econpapers || Download paper

37. Testing the stability of implied probability density functions. (2000). Bliss, Robert R ; Panigirtzoglou, Nikolaos.
    In: Bank of England working papers.
    RePEc:boe:boeewp:114.

    Full description at Econpapers || Download paper

38. Valuing Energy Options in a One Factor Model Fitted to Forward Prices. (1999). Clewlow, Les ; Strickland, Chris .
    In: Research Paper Series.
    RePEc:uts:rpaper:10.

    Full description at Econpapers || Download paper

39. Viability and Equilibrium in Securities Markets with Frictions. (1999). Jouini, Elyès ; hedi, Hachani ; Kallal, Hedi .
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-036.

    Full description at Econpapers || Download paper

40. Efficient Trading Strategies in the Presence of Market Frictions. (1999). Jouini, Elyès ; Kallal, Hedi .
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-035.

    Full description at Econpapers || Download paper

41. Arbitrage and Viability in Securities Markets with Fixed Trading Costs. (1999). NAPP, Clotilde ; Jouini, Elyès ; Kallal, Hedi .
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-033.

    Full description at Econpapers || Download paper

42. The Valuation of American Barrier Options Using the Decomposition Technique. (1999). B. Gao J. Huang, .
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-002.

    Full description at Econpapers || Download paper

43. Extracting market expectations from option prices: case studies in Japanese option markets. (1999). Shiratsuka, Shigenori ; Nakamura, Hisashi.
    In: Working Paper Series.
    RePEc:fip:fedhwp:wp-99-1.

    Full description at Econpapers || Download paper

44. Are stock returns different over weekends? a jump diffusion analysis of the \weekend effect\. (1999). Fortune, Peter.
    In: New England Economic Review.
    RePEc:fip:fedbne:y:1999:i:sep:p:3-19.

    Full description at Econpapers || Download paper

45. Stability for multidimensional jump-diffusion processes. (1999). Wee, In-Suk .
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:80:y:1999:i:2:p:193-209.

    Full description at Econpapers || Download paper

46. In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World. (1999). Jarrow, Robert.
    In: Journal of Economic Perspectives.
    RePEc:aea:jecper:v:13:y:1999:i:4:p:229-248.

    Full description at Econpapers || Download paper

47. Pricing Derivatives the Martingale Way.. (1998). Pierre Collin Dufresne William Keirstead, ; Ross, Michael P..
    In: Research Program in Finance Working Papers.
    RePEc:ucb:calbrf:rpf-279.

    Full description at Econpapers || Download paper

48. Weekends can be rough: revisiting the weekend effect in stock prices. (1998). Fortune, Peter.
    In: Working Papers.
    RePEc:fip:fedbwp:98-6.

    Full description at Econpapers || Download paper

49. Preference-free option pricing with path-dependent volatility: A closed-form approach. (1998). Heston, Steven L. ; Nandi, Saikat.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:98-20.

    Full description at Econpapers || Download paper

50. Option Pricing Model for Incomplete Market. (1998). Mikhailov, Sergei ; Fedotov, Sergei.
    In: Papers.
    RePEc:arx:papers:cond-mat/9807397.

    Full description at Econpapers || Download paper

51. Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model. (1997). Lo, Andrew ; Kogan, Leonid ; Bertsimas, Dimitris.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6250.

    Full description at Econpapers || Download paper

52. Asymmetric Volatility and Risk in Equity Markets. (1997). Wu, Guojun ; Bekaert, Geert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6022.

    Full description at Econpapers || Download paper

53. Heterogeneous Information Arrival and Option Pricing. (1997). Ncube, Mthuli ; Asea, Patrick K..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5950.

    Full description at Econpapers || Download paper

54. A closed-form GARCH option pricing model. (1997). Heston, Steven L. ; Nandi, Saikat.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:97-9.

    Full description at Econpapers || Download paper

55. Implied risk-neutral probability density functions from option prices: theory and application. (1997). Bahra, Bhupinder.
    In: Bank of England working papers.
    RePEc:boe:boeewp:66.

    Full description at Econpapers || Download paper

56. The sovereignty option: the Quebec referendum and market views on the Canadian dollar. (1996). Thomas, Charles ; Leahy, Michael P..
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:555.

    Full description at Econpapers || Download paper

57. On martingale measures when asset returns have unpredictable jumps. (1996). Chao, Xiuli ; Bardhan, Indrajit .
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:63:y:1996:i:1:p:35-54.

    Full description at Econpapers || Download paper

58. On optimal control of income generating activities, and the value of flexible production design. (1996). Stensland, Gunnar ; Olsen, Trond.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:5:y:1996:i:4:p:349-361.

    Full description at Econpapers || Download paper

59. Stochastic multi-agent equilibria in economies with jump-diffusion uncertainty. (1996). Chao, Xiuli ; Bardhan, Indrajit .
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:20:y:1996:i:1-3:p:361-384.

    Full description at Econpapers || Download paper

60. American Options on Dividend-Paying Assets. (1996). Detemple, Jerome ; Broadie, Mark.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:96s-16.

    Full description at Econpapers || Download paper

61. Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices. (1995). Lo, Andrew ; Ait-Sahalia, Yacine.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5351.

    Full description at Econpapers || Download paper

62. GARCH Gamma. (1995). Rosenberg, Joshua ; Engle, Robert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5128.

    Full description at Econpapers || Download paper

63. A counting process approach to stochastic interest. (1995). Moller, Christian Max.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:17:y:1995:i:2:p:181-192.

    Full description at Econpapers || Download paper

64. Stochastic Volatility. (1995). Renault, Eric ; Harvey, Andrew ; Ghysels, Eric.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:95s-49.

    Full description at Econpapers || Download paper

65. Empirical Martingale Simulation for Asset Prices. (1995). Simonato, Jean-Guy ; Duan, Jin-Chuan.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:95s-43.

    Full description at Econpapers || Download paper

66. The continuous time random walk formalism in financial markets. (). Perelló, Josep ; Montero, Miquel ; Masoliver, Jaume.
    In: Modeling, Computing, and Mastering Complexity 2003.
    RePEc:sce:cplx03:24.

    Full description at Econpapers || Download paper

67. The Exchange Rate Under Target Zones. (). Vajanne, Laura.
    In: ETLA A.
    RePEc:rif:abooks:16.

    Full description at Econpapers || Download paper

68. Short-term options with stochastic volatility: Estimation and empirical performance. (). Fiorentini, Gabriele ; Rubio, Gonzalo ; Angel León, .
    In: Studies on the Spanish Economy.
    RePEc:fda:fdaeee:02.

    Full description at Econpapers || Download paper

69. Too much cocited documents. This list is not complete

Report date: 2025-09-13 09:49:39 || Missing content? Let us know