CLOSED-FORM APPROXIMATION OF PERPETUAL TIMER OPTION PRICES

DOI10.1142/S0219024914500265zbMath1304.91220OpenAlexW2167717896MaRDI QIDQ2874732

Fabio Mercurio, Minqiang Li

Publication date: 8 August 2014

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024914500265

zbMATH Keywords

perturbationasymptotic expansionstochastic volatilitymodelsclosed-form approximationtimer options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

FAST HILBERT TRANSFORM ALGORITHMS FOR PRICING DISCRETE TIMER OPTIONS UNDER STOCHASTIC VOLATILITY MODELS ⋮ Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model ⋮ \( C^{1,\alpha}\) regularity for degenerate parabolic equations arising from the Heston model ⋮ INTEGRAL REPRESENTATION OF PROBABILITY DENSITY OF STOCHASTIC VOLATILITY MODELS AND TIMER OPTIONS ⋮ PRICING PERPETUAL TIMER OPTION UNDER THE STOCHASTIC VOLATILITY MODEL OF HULL–WHITE

Cites Work

• A damped diffusion framework for financial modeling and closed-form maximum likelihood estimation
• Quadratic-Variation-Based Dynamic Strategies
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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