scientific article; zbMATH DE number 7673126

DOI10.12941/JKSIAM.2022.26.296MaRDI QIDQ5886723zbMATH OpenFDO

Authors

Publication date 6 April 2023

Full work available at URL https://doi.org/10.12941/JKSIAM.2022.26.296

zbMATH Keywords

asymptotic analysisMonte Carlo simulationpower optiontimer option

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• PRICING TIMER OPTIONS: SECOND-ORDER MULTISCALE STOCHASTIC VOLATILITY ASYMPTOTICS
• Closed-form approximation of perpetual timer option prices
• Timer option pricing of stochastic volatility model with changing coefficients under time-varying interest rate
• Pricing timer options under fast mean-reverting stochastic volatility
• The timer option pricing with paying dividends under the time-varying interest rates for Heston stochastic volatility model

Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Bessel processes, stochastic volatility, and timer options
• Hedging variance options on continuous semimartingales
• Lookback options and dynamic fund protection under multiscale stochastic volatility
• Multiscale stochastic volatility for equity, interest rate, and credit derivatives.
• Pricing external barrier options under a stochastic volatility model
• Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model
• Pricing timer options under fast mean-reverting stochastic volatility
• The evaluation of barrier option prices under stochastic volatility
• The pricing of options and corporate liabilities
• Valuation of power option for uncertain financial market
• Valuation of power options under Heston's stochastic volatility model

Cited in

(7)

• Closed-form approximation of perpetual timer option prices
• Fast Hilbert transform algorithms for pricing discrete timer options under stochastic volatility models
• PRICING TIMER OPTIONS: SECOND-ORDER MULTISCALE STOCHASTIC VOLATILITY ASYMPTOTICS
• Timer option pricing of stochastic volatility model with changing coefficients under time-varying interest rate
• Valuing of timer path-dependent options
• Pricing of timer digital power options based on stochstic volatility
• Pricing of timer volatility-barrier options under Heston's stochastic volatility model

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5886723)