Path integral approach to the pricing of timer options with the Duru-Kleinert time transformation
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- 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.
- 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.
- 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.
- 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.
- repec:wsi:ijtafx:v:20:y:2017:i:08:n:s0219024917500558 is not listed on IDEAS
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-01-30 (All new papers)
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