Pricing of timer digital power options based on stochstic volatility

DOI10.7858/EAMJ.2024.005zbMATH Open1544.91329MaRDI QIDQ6563856

Mijin Ha, Sang-Min Park, Ji-Hun Yoon, Donghyun Kim

Publication date: 28 June 2024

Published in: East Asian Mathematical Journal (Search for Journal in Brave)

zbMATH Keywords

power optiondigital optiontimer option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Cites Work

• Title not available (Why is that?)
• The pricing of options and corporate liabilities
• Valuation of power options under Heston's stochastic volatility model
• The evaluation of barrier option prices under stochastic volatility
• Lookback options and dynamic fund protection under multiscale stochastic volatility
• Valuation of power option for uncertain financial market
• Pricing external barrier options under a stochastic volatility model
• Bessel processes, stochastic volatility, and timer options
• Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
• Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Valuing of timer path-dependent options

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