Passport options with stochastic volatility

Applied Mathematical Finance

Volumn 8, Issue 2, 2001, Pages 97-118

  Henderson, Vicky ^a   Hobson, David ^b  

^a UNIVERSITY OF WARWICK   (United Kingdom)

^b University of Bath   (United Kingdom)

Author keywords

Hull And White Model; Option Pricing; Passport Option; Stochastic Volatility

Indexed keywords

EID: 4544372132     PISSN: 1350486X     EISSN: 14664313     Source Type: Journal    
DOI: 10.1080/13504860110068863     Document Type: Article

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