Bergische Universität Wuppertal Fachbereich Mathematik und Naturwissenschaften Angewandte Mathematik - Numerische Analysis

People Research Publications Teaching

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Numerical Pricing of Generalized Passport Options

Masterarbeit Wirtschaftsmathematik

Master's Thesis in Financial Mathematics, Halmstad University, Sweden

Supervision

• Prof. Dr. Matthias Ehrhardt

Description

Keywords

References:

1. H. Ahn, A. Penaud and P. Wilmott, Various Passport Options and Their Valuation, Oxford University, OCIAM Working Paper, 1998.
2. H. Ahn, A. Penaud and P. Wilmott, Exotic Passport Options, Asia-Pacific Financial Markets 6 (1999), 171-182.
3. L. Andersen, J. Andreasen and R. Brotherton-Ratcliffe, The Passport Option, Aarhus University, Working Paper, 1998.
4. S. Chan, The Valuation of American Passport Options, University of Wisconsin-Madison, Working Paper (1999).
5. F. Delbaen and M. Yor, Passport Options, Working Paper, 1998.
6. V. Hendersen and D. Hobson, Passport Options with Stochastic Volatility, Working Paper, 2000.
7. T. Hyer, A. Lipton-Lifschitz and D. Pugachevsky, Passport to Success, Risk 10 (1997), 127-131.
8. M. Melo, Vacation Options under Stochastic Volatility, Instituto de Matematica Pura e Aplicada, Working Paper, 2003.
9. I. Nagayama, Pricing of Passport Options, Journal of Mathematical Science, University of Tokyo 5 (1999), 747-785.
10. S. Shreve and J. Vecer, Options on a Traded Account: Vacation Calls, Vacation Puts and Passport Options, Finance and Stochastics 4 (2000), 255-274.
11. J. Topper, A Finite Element Implementation of Passport Options, University of Oxford, Working Paper, 2003.