Valuing of timer path-dependent options

DOI10.1016/J.MATCOM.2023.08.010MaRDI QIDQ6089609FDOQ6089609

Authors:

Publication date: 13 November 2023

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

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)

Cites Work

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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

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