VISCOSITY SOLUTIONS OF HJB EQUATIONS ARISING FROM THE VALUATION OF EUROPEAN PASSPORT OPTIONS

被引：0

作者：

Bian Baojun ^{[1
]}

Wang Yang ^{[1
,2
]}

Zhang Jizhou ^{[2
]}

机构：

[1] Tongji Univ, Dept Math, Shanghai 200092, Peoples R China

[2] Shanghai Normal Univ, Math & Sci Coll, Shanghai 200234, Peoples R China

来源：

ACTA MATHEMATICA SCIENTIA | 2010年 / 30卷 / 01期

基金：

美国国家科学基金会;

关键词：

passport option; HJB equation; viscosity solution; uniqueness; convexity preserving;

D O I：

暂无

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

The passport option is a call option on the balance of a trading account. The option holder retains the gain from trading, while the issuer is liable for the net loss. In this article, the mathematical foundation for pricing the European passport option is established. The pricing equation which is a fully nonlinear equation is derived using the dynamic programming principle. The comparison principle, uniqueness and convexity preserving of the viscosity solutions of related HJB equation are proved. A relationship between the passport and lookback options is discussed.

引用

页码：187 / 202

页数：16

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