PRICING PERPETUAL TIMER OPTION UNDER THE STOCHASTIC VOLATILITY MODEL OF HULL–WHITE

DOI10.1017/S1446181117000177zbMath1411.91584MaRDI QIDQ5370796

Yuecai Han, Xiaoping Lu, Ji Chao Zhang

Publication date: 20 October 2017

Published in: The ANZIAM Journal (Search for Journal in Brave)

zbMATH Keywords

Bessel processstochastic volatilitytimer option

Mathematics Subject Classification ID

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

Related Items (2)

\( C^{1,\alpha}\) regularity for degenerate parabolic equations arising from the Heston model ⋮ PRICING TIMER OPTIONS: SECOND-ORDER MULTISCALE STOCHASTIC VOLATILITY ASYMPTOTICS

Cites Work

• Hedging variance options on continuous semimartingales
• BESSEL PROCESSES, STOCHASTIC VOLATILITY, AND TIMER OPTIONS
• CLOSED-FORM APPROXIMATION OF PERPETUAL TIMER OPTION PRICES
• Bessel diffusions as a one-parameter family of diffusion processes
• The spectral representation of Bessel processes with constant drift: applications in queueing and finance
• Quadratic-Variation-Based Dynamic Strategies
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Option pricing when underlying stock returns are discontinuous
• Stochastic integral
• Exponential functionals of Brownian motion and related processes
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: PRICING PERPETUAL TIMER OPTION UNDER THE STOCHASTIC VOLATILITY MODEL OF HULL–WHITE