The paper introduces options where the holder to select certain strategies that control the payoff. These control processes are assumed to be adapted to the current flow of information. These options have potential applications for commodities and energy trading. For instance, a control process can represent the quantity of some commodity that can be purchased by a certain given price at current time. In another example, the control represents the weight of the integral in a modification of the Asian option. It is shown that pricing for these options requires solution of an stochastic control problem. Some pricing rules are suggested.
The paper introduces a modification of the passport options such that the holder selects select dynamically a weight function that control the distribution of the payments (benefits) for option holder over time. The control processes are assumed to be adapted to the current flow of information. These options are oriented on applications for commodities and energy trading. For instance, a control process can represent the quantity of some commodity that can be purchased by a certain given price at current time. In another example, the control represents the weight of the integral in a modification of the Asian option. It is shown that pricing for these options requires solution of a stochastic control problem. Some pricing rules are suggested.
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payoff. These
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