Closed-Form Approximation of Timer Option Prices under General Stochastic Volatility Models
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References listed on IDEAS
- Li, Minqiang, 2008. "Closed-Form Approximations for Spread Option Prices and Greeks," MPRA Paper 6994, University Library of Munich, Germany.
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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.
More about this item
KeywordsTimer Option; Closed-Form Approximation; Perturbation;
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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