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 .
The paper introduces a limit version of multiple stopping options such that the holder selects dynamically a weight function that control the distribution of the payments (benefits) over time. In applications for commodities and energy trading , a control process can represent the quantity that can be purchased by a fixed price at current time. In another example, the control represents the weight of the integral in a modification of the Asian option. The pricing for these options requires to solve a stochastic control problem. Some existence results and pricing rules are obtained via modifications of parabolic Bellman equations .
R
modification of the passport
limit version of multiple stopping
D
select
D
for option holder
R
The control processes are assumed to be adapted to the current flow of information. These options are oriented on
In
D
. For instance
D
of some commodity
R
certain given
fixed
R
It is shown that
The
R
solution of
to solve
A
existence results and
R
suggested
obtained via modifications of parabolic Bellman equations