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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2024.1
- 수록면
- 63 - 74 (12page)
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Timer options are financial instruments proposed by Soci\'et\'e G\'en\'erale Corporate and Investment Banking in 2007. Unlike vanilla options, where the expiry date is fixed, the expiry date of timer options is determined by the investor's choice, which is in linked to a variance budget. In this study, we derive a pricing formula for hybrid options that combine timer options, digital options, and power options, considering an environment where volatility of an underlying asset follows a fast-mean-reverting process. Additionally, we aim to validate the pricing accuracy of these analytical formulas by comparing them with the results obtained from Monte Carlo simulations. Finally, we conduct numerical studies on these options to analyze the impact of stochastic volatility on option's price with respect to various model parameters.
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