Closed-form approximation of perpetual timer option prices

DOI10.1142/S0219024914500265MaRDI QIDQ2874732zbMATH OpenOpenAlexFDO

Authors Minqiang Li, Fabio Mercurio

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

asymptotic expansionclosed-form approximationmodelsperturbationstochastic volatilitytimer options

Mathematics Subject Classification ID

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

Recommendations

• PRICING TIMER OPTIONS: SECOND-ORDER MULTISCALE STOCHASTIC VOLATILITY ASYMPTOTICS
• Pricing timer options under fast mean-reverting stochastic volatility
• Pricing perpetual timer option under the stochastic volatility model of Hull-White
• The asymptotic formula of the perpetual American barrier option under stochastic volatility
• scientific article; zbMATH DE number 7673126

Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A damped diffusion framework for financial modeling and closed-form maximum likelihood estimation
• scientific article; zbMATH DE number 3736679 (Why is no real title available?)
• scientific article; zbMATH DE number 1414609 (Why is no real title available?)
• Quadratic-Variation-Based Dynamic Strategies

Cited in

(9)

• Pricing timer options under fast mean-reverting stochastic volatility
• 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
• INTEGRAL REPRESENTATION OF PROBABILITY DENSITY OF STOCHASTIC VOLATILITY MODELS AND TIMER OPTIONS
• Closed-form approximations with respect to the mixing solution for option pricing under stochastic volatility
• Pricing perpetual timer option under the stochastic volatility model of Hull-White
• scientific article; zbMATH DE number 7673126 (Why is no real title available?)
• Valuing of timer path-dependent options
• \( C^{1,\alpha}\) regularity for degenerate parabolic equations arising from the Heston model

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