In this article, we study the problem of valuing the timer path-dependent options where the volatility is governed by a fast-mean reverting process.
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In this article, we study the problem of valuing the timer path-dependent options where the volatility is governed by a fast-mean reverting process.
Aug 18, 2021 · A time-T payoff is an integrable, FT-measurable random variable ξ. The value process of the discounted payoff is then a Q-martingale, i.e., ...
A path-dependent option has a payout that depends on the price history of the underlying asset over all or part of the life of the option.
This paper develops methods for relating the prices of discrete- and continuous-time versions of path-dependent options sensitive to extremal values of the ...
Oct 25, 2023 · In other words, the payoff of the timer option depends only on a random date determined by the time needed to realize a prescribed variance ...
Time-dependent barrier options are hybrids of regular barrier options and ordinary options. Because the barrier period covers a segment of time either at the ...
These properties suggest a new, efficient and integrated approach to pricing and hedging a variety of standard and non-standard American options. From an ...
In this paper, the pricing of a variety of discretely sampled path-dependent options is examined in an extended Black-Scholes-Merton framework that ...
The discrete-time GARCH parameters can be estimated easily just by observing the history of asset prices. Unlike most option pricing models that are based on ...