Passport Options

30 Pages Posted: 7 Feb 2003

See all articles by Freddy Delbaen

Freddy Delbaen

Swiss Federal Institute of Technology at Zurich

Marc Yor

Universite Paris

Abstract

We relate the theory of passport options with general principles from martingale theory as well as with the theory of Bessel processes. The calculation of the price of a passport option leads to an equality between two norms on continuous martingales. We also solve the discrete time case for passport options.

Suggested Citation

Delbaen, Freddy and Yor, Marc, Passport Options. Mathematical Finance, Vol. 12, pp. 299-328, 2002, Available at SSRN: https://ssrn.com/abstract=330730

Freddy Delbaen

Swiss Federal Institute of Technology at Zurich ( email )

ETH-Zentrum
CH-8092 Zurich
Switzerland

Marc Yor (Contact Author)

Universite Paris ( email )

223 Rue Saint-Honore
Paris, 75775
France

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