This paper presents a new arbitrage-free approach to the pricing of derivatives, when the price process of the underlying security does not conform to the standard assumptions. In comparision to the Black-Scholes price process we relax the requirements of i) continuity; ii) constant volatility;...

A passport option is a call option on the profits of a trading account. In this article, the robustness of passport option pricing is investigated by incorporating stochastic volatility. The key feature of a passport option is the holders' optimal strategy. It is known that in the case of...