This paper is primarily concerned with pricing a general passport option (GPO) within the standard Black-Scholes framework. We show that in all possible cases of the allowed trading strategy, the price can be decomposed into simple portfolios of standard European calls and puts and a contract we...

This paper develops a new technique for pricing a class of exotic options that are characterized by two expiry dates. Examples of such exotics include compound options, chooser options, extendable options, shout options, partial barrier options and others. The method, based on the partial...