A passport option, as introduced and marketed by Bankers Trust, is a call option on the balance of a trading account. The strategy that this account follows is chosen by the option holder, subject to position limits. <p>We derive a simplified form for the price of the passport option using local...</p>

<Para ID="Par1">This paper considers exponential utility indifference pricing for a multidimensional non-traded assets model, and provides two linear approximations for the utility indifference price. The key tool is a probabilistic representation for the utility indifference price by the solution of a...</para>

A variance swap is a derivative with a path-dependent payoff which allows investors to take positions on the future variability of an asset. In the idealised setting of a continuously monitored variance swap written on an asset with continuous paths, it is well known that the variance swap...

<Para ID="Par1">We consider the problem of giving a robust, model-independent, lower bound on the price of a forward starting straddle with payoff <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$|F_{T_{1}} - F_{T_{0}}|$</EquationSource> </InlineEquation>, where 0T <Subscript>0</Subscript>T <Subscript>1</Subscript>. Rather than assuming a model for the underlying forward price (F <Subscript> t </Subscript>)<Subscript> t≥0</Subscript>, we assume that call prices for maturities T...</subscript></subscript></subscript></subscript></subscript></equationsource></inlineequation></para>

In this article we are interested in option pricing in markets with bubbles. A bubble is defined to be a price process which, when discounted, is a local martingale under the risk-neutral measure but not a martingale. We give examples of bubbles both where volatility increases with the price...