Comparison results for highly degenerate parabolic equations with univariate convex data and optimal strategies for options on trading accounts

Jörg Kampen; Jan Vecer

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arXiv · 1706.04503

Comparison results for highly degenerate parabolic equations with univariate convex data and optimal strategies for options on trading accounts

Jörg Kampen·Jan Vecer

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Abstract

For linear multivariate purely second order highla degenerated parabolic equations with univariate convex data, monotonicity of the coefficent matrices implies monotonicity of the related value functions under usual regularity and growth assumptions for the data and the coefficients. The comparison result is applied to a new product, i.e., symmetric passport options.

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Jörg Kampen, Jan Vecer. 2017-06-14. Comparison results for highly degenerate parabolic equations with univariate convex data and optimal strategies for options on trading accounts. https://arxiv.org/abs/1706.04503

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