Explicit approximate analytic formulas for timer option pricing with stochastic interest rates
详细信息 查看全文
- 作者：Jingtang Maa ; mjt@swufe.edu.cn" class="auth_mail" title="E-mail the corresponding author ; Dongya Dengb ; 112020204015@2012.swufe.edu.cn" class="auth_mail" title="E-mail the corresponding author ; Yongzeng Laic ; ylai@wlu.ca" class="auth_mail" title="E-mail the corresponding author
- 关键词：G12 ; G13 ; C02 ; C63
- 刊名：The North American Journal of Economics and Finance
- 出版年：2015
- 出版时间：November 2015
- 年：2015
- 卷：34
- 期：Complete
- 页码：1-21
- 全文大小：430 K
文摘
- •
Timer option price is formulated as a four-dimensional PDE using Δ-hedging approach.
- •
A dimension-reduction technique is then proposed to reduce the four-dimensional PDE into a two-dimensional PDE.
- •
A perturbation approach is developed to solve the reduced two-dimensional nonlinear PDE.
- •
An explicit approximate analytic formula for power style timer option is derived.
- •
Numerical examples of pricing power style timer options are provided.