Valuing of timer path-dependent options

DOI10.1016/J.MATCOM.2023.08.010MaRDI QIDQ6089609zbMATH OpenFDO

Authors

Publication date 13 November 2023

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.MATCOM.2023.08.010

zbMATH Keywords

Monte Carlo simulationasymptotic analysismethod of imagespath-dependent optiontimer option

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX) Operations research, mathematical programming (90-XX)

Recommendations

• scientific article; zbMATH DE number 7673126
• Pricing timer options under fast mean-reverting stochastic volatility
• PRICING TIMER OPTIONS: SECOND-ORDER MULTISCALE STOCHASTIC VOLATILITY ASYMPTOTICS
• Closed-form approximation of perpetual timer option prices
• Pricing of timer volatility-barrier options under Heston's stochastic volatility model

Cites work

• scientific article; zbMATH DE number 5852050 (Why is no real title available?)
• scientific article; zbMATH DE number 44797 (Why is no real title available?)
• scientific article; zbMATH DE number 1223766 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• A New Approach to Pricing Double-Barrier Options with Arbitrary Payoffs and Exponential Boundaries
• A closed-form analytic correction to the Black-Scholes-Merton price for perpetual American options
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A multiscale extension of the Margrabe formula under stochastic volatility
• American options under stochastic volatility: control variates, maturity randomization \& multiscale asymptotics
• Asymptotic solutions for Australian options with low volatility
• Bessel processes, stochastic volatility, and timer options
• Hedging variance options on continuous semimartingales
• Mathematical methods in science and engineering
• Multiscale stochastic volatility for equity, interest rate, and credit derivatives.
• OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
• On the investment-uncertainty relationship in a real option model with stochastic volatility
• On the performance of asymptotic locally risk minimising hedges in the Heston stochastic volatility model
• Pricing external barrier options under a stochastic volatility model
• Pricing of vulnerable options under hybrid stochastic and local volatility
• Pricing perpetual American floating strike lookback option under multiscale stochastic volatility model
• Pricing perpetual American options under a stochastic-volatility model with fast mean reversion
• 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
• Pricing vulnerable options under a stochastic volatility model
• Pricing vulnerable path-dependent options using integral transforms
• QUANTO LOOKBACK OPTIONS
• The pricing of dynamic fund protection with default risk
• The pricing of options and corporate liabilities
• Two asset-barrier option under stochastic volatility

Cited in

(2)

• 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: Valuing of timer path-dependent options

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6089609)