CLOSED-FORM APPROXIMATION OF PERPETUAL TIMER OPTION PRICES (Q2874732)

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CLOSED-FORM APPROXIMATION OF PERPETUAL TIMER OPTION PRICES
scientific article

    Statements

    title
    CLOSED-FORM APPROXIMATION OF PERPETUAL TIMER OPTION PRICES (English)
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    author
    Minqiang Li
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    Fabio Mercurio
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    publication date
    8 August 2014
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    zbMATH Keywords
    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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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    60H10
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    60H30
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    91G60
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    zbMATH DE Number
    6328007
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    OpenAlex ID
    W2167717896
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