Path integral approach to the pricing of timer options with the Duru-Kleinert time transformation
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Cited by:
- Ma, Jingtang & Deng, Dongya & Lai, Yongzeng, 2015. "Explicit approximate analytic formulas for timer option pricing with stochastic interest rates," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 1-21.
- Zura Kakushadze, 2014. "Path Integral and Asset Pricing," Papers 1410.1611, arXiv.org, revised Aug 2016.
- Minqiang Li & Fabio Mercurio, 2015.
"Analytic Approximation of Finite‐Maturity Timer Option Prices,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 35(3), pages 245-273, March.
- Li, Minqiang, 2014. "Analytic Approximation of Finite-Maturity Timer Option Prices," MPRA Paper 54597, University Library of Munich, Germany.
- Minqiang Li, 2015.
"Derivatives Pricing on Integrated Diffusion Processes: A General Perturbation Approach,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 35(6), pages 582-595, June.
- Li, Minqiang, 2014. "Derivatives Pricing on Integrated Diffusion Processes: A General Perturbation Approach," MPRA Paper 54595, University Library of Munich, Germany.
- Zura Kakushadze, 2015. "Path integral and asset pricing," Quantitative Finance, Taylor & Francis Journals, vol. 15(11), pages 1759-1771, November.
- Li, Minqiang & Mercurio, Fabio, 2013. "Closed-Form Approximation of Timer Option Prices under General Stochastic Volatility Models," MPRA Paper 47465, University Library of Munich, Germany.
- Pingping Zeng & Yue Kuen Kwok & Wendong Zheng, 2015. "Fast Hilbert Transform Algorithms For Pricing Discrete Timer Options Under Stochastic Volatility Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(07), pages 1-26, November.
- 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.
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