• DocumentCode
    2672831
  • Title

    A viscosity solution approach to valuation of passport options in a jump-diffusion model

  • Author

    Baojun Bian ; Yang Wang

  • Author_Institution
    Dept. of Math., Tongji Univ., Shanghai
  • fYear
    2008
  • fDate
    16-18 July 2008
  • Firstpage
    606
  • Lastpage
    608
  • Abstract
    We consider the pricing problem of European passport option when underlying asset follows a jump-diffusion process. We derive the pricing equation and establish the comparison principle, uniqueness result and convexity preserving for the viscosity solutions of related HJB equations.
  • Keywords
    investment; pricing; probability; Brownian motion; European passport option; HJB equations; convexity preservation; investment; jump-diffusion model; passport option valuation; pricing equation; pricing problem; probability density funstion; viscosity solution approach; Bonding; Cost accounting; Discrete wavelet transforms; Economic indicators; Equations; Mathematical model; Mathematics; Pricing; Random variables; Viscosity; Convexity preserving; Jump-diffusion; Passport option; Uniqueness; Viscosity solution;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Control Conference, 2008. CCC 2008. 27th Chinese
  • Conference_Location
    Kunming
  • Print_ISBN
    978-7-900719-70-6
  • Electronic_ISBN
    978-7-900719-70-6
  • Type

    conf

  • DOI
    10.1109/CHICC.2008.4605901
  • Filename
    4605901
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=2672831