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Bessel Processes, Stochastic Volatility, And Timer Options

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  • Chenxu Li

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  • Chenxu Li, 2016. "Bessel Processes, Stochastic Volatility, And Timer Options," Mathematical Finance, Wiley Blackwell, vol. 26(1), pages 122-148, January.
    • Handle: RePEc:bla:mathfi:v:26:y:2016:i:1:p:122-148
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    5. John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 5, pages 129-164, World Scientific Publishing Co. Pte. Ltd..
    6. Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 8, pages 229-288, World Scientific Publishing Co. Pte. Ltd..
    7. Mark Broadie & Jerome B. Detemple, 2004. "ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications," Management Science, INFORMS, vol. 50(9), pages 1145-1177, September.
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    14. Hélyette Geman & Marc Yor, 1993. "Bessel Processes, Asian Options, And Perpetuities," Mathematical Finance, Wiley Blackwell, vol. 3(4), pages 349-375, October.
    15. David Hobson, 2004. "STOCHASTIC VOLATILITY MODELS, CORRELATION, AND THE q‐OPTIMAL MEASURE," Mathematical Finance, Wiley Blackwell, vol. 14(4), pages 537-556, October.
    16. Marc Romano & Nizar Touzi, 1997. "Contingent Claims and Market Completeness in a Stochastic Volatility Model," Mathematical Finance, Wiley Blackwell, vol. 7(4), pages 399-412, October.
    17. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
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    20. Ning Cai & Nan Chen & Xiangwei Wan, 2010. "Occupation Times of Jump-Diffusion Processes with Double Exponential Jumps and the Pricing of Options," Mathematics of Operations Research, INFORMS, vol. 35(2), pages 412-437, May.
    21. Paul Glasserman & Kyoung-Kuk Kim, 2011. "Gamma expansion of the Heston stochastic volatility model," Finance and Stochastics, Springer, vol. 15(2), pages 267-296, June.
    22. Hull, John C & White, Alan D, 1987. "The Pricing of Options on Assets with Stochastic Volatilities," Journal of Finance, American Finance Association, vol. 42(2), pages 281-300, June.
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    Cited by:

    1. Ha, Mijin & Kim, Donghyun & Yoon, Ji-Hun, 2024. "Valuing of timer path-dependent options," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 215(C), pages 208-227.
    2. Pingping Zeng & Ziqing Xu & Pingping Jiang & Yue Kuen Kwok, 2023. "Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps," Mathematical Finance, Wiley Blackwell, vol. 33(3), pages 842-890, July.
    3. Bo, Lijun & Tang, Dan & Wang, Yongjin, 2017. "Optimal investment of variance-swaps in jump-diffusion market with regime-switching," Journal of Economic Dynamics and Control, Elsevier, vol. 83(C), pages 175-197.
    4. Zhenyu Cui & J. Lars Kirkby & Guanghua Lian & Duy Nguyen, 2017. "Integral Representation Of Probability Density Of Stochastic Volatility Models And Timer Options," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(08), pages 1-32, December.
    5. Li, Chenxu & Wu, Linjia, 2019. "Exact simulation of the Ornstein–Uhlenbeck driven stochastic volatility model," European Journal of Operational Research, Elsevier, vol. 275(2), pages 768-779.

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