Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model

DOI10.1080/1350486X.2017.1285242zbMath1396.91774arXiv1504.08136OpenAlexW257270257WikidataQ41004673 ScholiaQ41004673MaRDI QIDQ4585682

Wendong Zheng, Pingping Zeng

Publication date: 6 September 2018

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1504.08136

zbMATH Keywords

discrete monitoring3/2 modeltimer optionsvariance derivativestriple joint transition density

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (6)

Valuing of timer path-dependent options ⋮ Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps ⋮ INTEGRAL REPRESENTATION OF PROBABILITY DENSITY OF STOCHASTIC VOLATILITY MODELS AND TIMER OPTIONS ⋮ Unnamed Item ⋮ PRICING TIMER OPTIONS: SECOND-ORDER MULTISCALE STOCHASTIC VOLATILITY ASYMPTOTICS ⋮ Explicit solution simulation method for the 3/2 model

Uses Software

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Cites Work

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