Closed-form approximation of perpetual timer option prices (Q2874732)
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scientific article; zbMATH DE number 6328007
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Closed-form approximation of perpetual timer option prices |
scientific article; zbMATH DE number 6328007 |
Statements
8 August 2014
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timer options
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perturbation
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closed-form approximation
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stochastic volatility
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models
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asymptotic expansion
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Closed-form approximation of perpetual timer option prices (English)
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