Publication
Title
Path integral approach to the pricing of timer options with the Duru-Kleinert time transformation
Author
Abstract
In this paper, a time substitution as used by Duru and Kleinert in their treatment of the hydrogen atom with path integrals is performed to price timer options under stochastic volatility models. We present general pricing formulas for both the perpetual timer call options and the finite time-horizon timer call options. These general results allow us to find closed-form pricing formulas for both the perpetual and the finite time-horizon timer options under the 3/2 stochastic volatility model as well as under the Heston stochastic volatility model. For the treatment of timer options under the 3/2 model we will rely on the path integral for the Morse potential, with the Heston model we will rely on the Kratzer potential.
Language
Dutch
Source (journal)
Physical review : E : statistical physics, plasmas, fluids, and related interdisciplinary topics. - Lancaster, Pa, 1993 - 2000
Publication
Lancaster, Pa : 2011
ISSN
1063-651X [print]
1095-3787 [online]
Volume/pages
83:5(2011), p. 056112,1-056112,12
Article Reference
056112
ISI
000290726900001
Medium
E-only publicatie
Full text (Publisher's DOI)
UAntwerpen
Faculty/Department
Research group
Publication type
Subject
Affiliation
Publications with a UAntwerp address
External links
Web of Science
Record
Identification
Creation 14.06.2011
Last edited 14.10.2017
To cite this reference