Passport Options

Julian · August 23rd, 2001, 4:42 pm

Hello,I would appreciate a lot any information or reference aboutpassport options.Thanks,Julian

Mic · August 23rd, 2001, 9:21 pm

Hi,Alex Lipton published some results about it in Risk, Vol 10/No 9/Sept. 1997.Mic

DB · August 24th, 2001, 7:30 am

You can download 2 of Paul's papers from www.maths.ox.ac.uk/mfg

Julian · August 24th, 2001, 10:02 am

Thanks for the references!J.

Collector · August 27th, 2001, 12:20 pm

Could possibly be of interest to you....Price comparison results and super-replication: an application to passport optionsHenderson, V., Applied Stochastic Models in Business and Industry, 2000, vol. 16, no. 4, pp. 297-310 Riskless Trading: Passport Options, Fund Managers and the Prudent Investor Rule.Company and Securities Law Journal, 2000, vol. 18, no. 3, pp. 209 also several download papers on passport options athttp://www.math.ethz.ch/~vh/preprints.html