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

作　　者：边保军 王杨 张寄洲 

机构地区：[1]Department of Mathematics,Tongji University [2]Mathematics and Science College,Shanghai Normal University

出　　处：《Acta Mathematica Scientia》2010年第1期187-202,共16页数学物理学报（B辑英文版）

基　　金：supported in partby National Science Foundation of China (10371088,10671144);National Basic Research Program of China(2007CB814903);Development Funds of Shanghai Higher Education (05D210);the Special Funds for Major Specialties of Shanghai Education Committee (T0401);Supported by Special Fund for the Excellent Young Teachers of Shanghai Higher Learning Institutions (ssd08029);the Research Program of Shanghai Normal University (SK200812)

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 H J13 equation are proved. A relationship between the passport and lookback options is discussed.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 H J13 equation are proved. A relationship between the passport and lookback options is discussed.

关 键 词：passport option HJB equation viscosity solution UNIQUENESS convexitypreserving 

分 类 号：O175[理学—数学]