In this article we study options on a traded account. In terms of the actions available to the buyer, the options we study are more general than a class of options known as {\em passport options}; in terms of the model of the underlying asset they are more restrictive. Using probabilistic...

Options with discontinuous payoffs are generally traded above their theoretical Black-Scholes prices because of the hedging difficulties created by their large delta and gamma values. A theoretical method for pricing these options is to constrain the hedging portfolio and incorporate this...