Pricing timer options under fast mean-reverting stochastic volatility
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- PRICING TIMER OPTIONS: SECOND-ORDER MULTISCALE STOCHASTIC VOLATILITY ASYMPTOTICS
- Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility
- Closed-form approximation of perpetual timer option prices
- Option price with stochastic volatility for both fast and slow mean-reverting regimes
- Small-time asymptotics for fast mean-reverting stochastic volatility models
Cited in
(15)- Stochastic asset flow equations: interdependence of trend and volatility
- Derivation of non-classical stochastic price dynamics equations
- Pricing collar options with stochastic volatility
- Bessel processes, stochastic volatility, and timer options
- Closed-form approximation of perpetual timer option prices
- Time-changed fast mean-reverting stochastic volatility models
- Fast Hilbert transform algorithms for pricing discrete timer options under stochastic volatility models
- Option price with stochastic volatility for both fast and slow mean-reverting regimes
- Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility
- PRICING TIMER OPTIONS: SECOND-ORDER MULTISCALE STOCHASTIC VOLATILITY ASYMPTOTICS
- Timer option pricing of stochastic volatility model with changing coefficients under time-varying interest rate
- 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
- Pricing of timer digital power options based on stochstic volatility
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