In this paper, we discuss a newly introduced exotic derivative called the “Timer Option”.
Instead of being exercised at a fixed maturity date as a vanilla option, it has a random date of …

This paper proposes a unified method for precise estimates of the error bounds in
asymptotic expansions of an option price and its Greeks (sensitivities) under a stochastic …

This paper contributes a generic probabilistic method to derive explicit exact probability
densities for stochastic volatility models. Our method is based on a novel application of the …

This study develops a general pricing method for multiasset cross‐currency options, whose
underlying asset consists of multiple different assets, and the evaluation currency is different …

We develop an approximation technique for pricing finite‐maturity timer options under
Heston‐like stochastic volatility models. By approximating the distributions of the …

We develop an asymptotic expansion technique for pricing timer options in stochastic
volatility models when the effect of volatility of variance is small. Based on the pricing PDE …

Timer options, which were first introduced by Société Générale Corporate and Investment
Banking in 2007, are financial securities whose payoffs and exercise are determined by a …

We study the pricing of timer options in a class of stochastic volatility models, where the
volatility is driven by two diffusions—one fast mean-reverting and the other slowly varying …

The valuation of perpetual timer options under the Hull–White stochastic volatility model is
discussed here. By exploring the connection between the Hull–White model and the Bessel …

We develop an asymptotic expansion technique for pricing timer options under general
stochastic volatility models around small volatility of variance. Closed-form approximation …