THE VALUATION OF TIMER POWER OPTIONS WITH STOCHASTIC VOLATILITY |
MIJIN, HA
(DEPARTMENT OF MATHEMATICS, PUSAN NATIONAL UNIVERSITY)
DONGHYUN, KIM (DEPARTMENT OF MATHEMATICS, PUSAN NATIONAL UNIVERSITY) SERYOONG, AHN (DIVISION OF BUSINESS ADMINISTRATION, PUKYONG NATIONAL UNIVERSITY) JI-HUN, YOON (DEPARTMENT OF MATHEMATICS, PUSAN NATIONAL UNIVERSITY) |
1 | J.-P. Fouque, G. Papanicolaou, R. Sircar, K. Solna, Multiscale stochastic volatility for equity, interest rate, and credit derivatives, Cambridge University Press, Cambridge, 2011. |
2 | C. Li, Bessel processes, stochastic volatility, and timer options, Math. Finance, 26(1) (2016), 122-148. DOI |
3 | N. Sawyer, SG CIB launches timer options, Risk 20(7) (2007), 6. |
4 | C. Bernard, Z. Cui, Pricing timer options, J. Comput. Finance, 15(1) (2011), 69-104. DOI |
5 | P. Carr, R. Lee, Hedging variance options on continuous semimartingales, Finance Stoch., 14(2) (2010), 179-207. DOI |
6 | W. Zheng, P. Zeng, Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model, Appl. Math. Finance, 23(5) (2016), 344-373. DOI |
7 | Z. Zhang, W. Liu, and Y. Sheng, it Valuation of power option for uncertain financial market, Appl. Math. Comput., 286 (2016), 257-264. DOI |
8 | J. Liu and X. Chen, Implied volatility formula of European power option pricing, arXiv preprint arXiv:1203.0599. |
9 | S. Macovschi, and F. Quittard-Pinon, On the pricing of power and other polynomial options. J. Deriv., 13(4) (2006), 61-71. DOI |
10 | J. Kim, B. Kim, K. S. Moon, and I. S. Wee, Valuation of power options under Heston's stochastic volatility model, J. Econ. Dyn. Control, 36(11) (2012), 1796-1813. DOI |
11 | S.-Y. Choi, S. Veng, J.-H. Kim, J.-H, Yoon, A Mellin transform approach to the pricing of options with default risk, Comput. Econ., 59(3) (2022), 1113-1134 DOI |
12 | H. Y.Wong, and C. M. Chan, Lookback options and dynamic fund protection under multiscale stochastic volatility, Insur.: Math. Econ., 40(3) (2007), 357-385. DOI |
13 | C. Chiarella, B. Kang, and G. H. Meyer, The evaluation of barrier option prices under stochastic volatility, Comput. Math. with Appl., 64(6) (2012), 2034-2048. DOI |
14 | D. Kim, J.-H. Yoon, and C.-R. Park, Pricing external barrier options under a stochastic volatility model J. Comput. Appl. Math., 394 (2021), 113555. DOI |
15 | S. N. Ibrahim, J. G. O'Hara, and N. Constantinou, Power option pricing via fast Fourier transform, IEEE, Proceedings of 2012 4th CEEC, Colchester, UK 2012 |
16 | D. Saunders, Pricing timer options under fast mean-reverting stochastic volatility, Can. Appl. Math. Q., 17(4) (2010), 737-753. |
17 | S. L. Heston, A closed-form solution for options with stochastic volatility with applications to bond and currency options, Rev. Financ. Stud., 6(2) (1993), 327-343. DOI |
18 | F. Black, and M. Scholes, The pricing of options and corporate liabilities, J Polit Econ, 81(3) (1973), 637-654. DOI |
19 | J. Hull, and A. White, The pricing of options on assets with stochastic volatilities, J. Finance, 42(2) (1987), 281-300. DOI |