Pricing of timer digital power options based on stochstic volatility
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Publication:6563856
DOI10.7858/EAMJ.2024.005zbMATH Open1544.91329MaRDI QIDQ6563856FDOQ6563856
Authors: Mijin Ha, Sang-Min Park, Donghyun Kim, Ji-Hun Yoon 
Publication date: 28 June 2024
Published in: East Asian Mathematical Journal (Search for Journal in Brave)
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Cites Work
- The pricing of options and corporate liabilities
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Multiscale stochastic volatility for equity, interest rate, and credit derivatives.
- Valuation of power options under Heston's stochastic volatility model
- Pricing external barrier options under a stochastic volatility model
- The evaluation of barrier option prices under stochastic volatility
- Title not available (Why is that?)
- Lookback options and dynamic fund protection under multiscale stochastic volatility
- Valuation of power option for uncertain financial market
- Bessel processes, stochastic volatility, and timer options
- Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model
- Valuing of timer path-dependent options
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