An analytic pricing formula for timer options under constant elasticity of variance with stochastic volatility

An analytic pricing formula for timer options under constant elasticity of variance with stochastic volatility

Timer options, which were first introduced by Société Générale Corporate and Investment Banking in 2007, are financial securities whose payoffs and exercise are determined by a random time associated with the accumulated realized variance of the underlying asset, unlike vanilla options exercised at...

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Bibliographic Details
Main Authors: Sun-Yong Choi, Donghyun Kim, Ji-Hun Yoon
Format: Article
Language:English
Published: AIMS Press 2024-01-01
Series:AIMS Mathematics
Subjects:
timer options
stochastic volatility
constant elasticity of variance
asymptotic analysis
monte-carlo simulation
Online Access:https://www.aimspress.com/article/doi/10.3934/math.2024121?viewType=HTML

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https://www.aimspress.com/article/doi/10.3934/math.2024121?viewType=HTML

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