Timer options are barrier style options in the volatility space. A typical timer option is similar to its European vanilla counterpart, except with uncertain expiration date.

Pricing Discrete Barrier Options Under Stochastic Volatility | SpringerLink

The finite-maturity timer option expires either when the accumulated realized variance of the underlying asset has reached a pre-specified level or on the mandated expiration date, whichever comes earlier. The challenge in the pricing procedure is the incorporation of the barrier feature in terms of the accumulated realized variance instead of the usual knock-out feature of hitting a barrier by the underlying asset price.

We construct the fast Hilbert transform algorithms for pricing finite-maturity discrete timer options under different types of stochastic pricing discrete barrier options under stochastic volatility processes. The barrier feature associated best forex signals site the accumulated realized variance can be incorporated effectively into the fast Hilbert transform pricing discrete barrier options under stochastic volatility with the computational convenience of avoiding the nuisance of recovering the option values in the real domain at each monitoring time instant in order to check for the expiry condition.

Can you make money treasure hunting numerical tests demonstrate high level of accuracy of the fast Hilbert transform algorithms.

We also explore the pricing properties of the timer options with respect to various parameters, like the volatility of variance, correlation coefficient between the asset price process and instantaneous variance process, sampling frequency, and variance budget. Home Books Journals Resources Open Access For Authors For Booksellers For Librarians Sitemap About Us Publish with Us Open Access.

You have requested the following: International Journal of Theoretical and Applied Finance, NovemberVol. PINGPING ZENGYUE KUEN KWOKand WENDONG ZHENG.

Finite-maturity timer options; Hilbert transform; stochastic volatility models. You have requested the following:. Choose from the following options: International Journal of Theoretical and Applied Finance - 18