Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model (Q4585682)
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scientific article; zbMATH DE number 6933342
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| English | Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model |
scientific article; zbMATH DE number 6933342 |
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Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model (English)
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6 September 2018
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3/2 model
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triple joint transition density
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timer options
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variance derivatives
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discrete monitoring
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0.8342185020446777
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0.7795144319534302
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0.7554896473884583
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0.7546868920326233
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0.7511563897132874
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