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
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;
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
DOI :
10.1109/CHICC.2008.4605901
