Pricing perpetual timer option under the stochastic volatility model of Hull–White
Zhang, Jichao ; Lu, Xiaoping ; Han, Yuecai
ANZIAM Journal, Tome 58 (2017), / Harvested from Australian Mathematical Society
Link

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 process and using time-change techniques, the triple joint distribution for the instantaneous volatility, the cumulative reciprocal volatility and the cumulative realized variance is obtained. An explicit analytical solution for the price of perpetual timer call options is derived as a Black–Scholes–Merton-type formula. doi:10.1017/S1446181117000177

Publié le : 2017-01-01
DOI : https://doi.org/10.21914/anziamj.v58i0.11281 
@article{11281,
     title = {Pricing perpetual timer option under the stochastic volatility model of Hull--White},
     journal = {ANZIAM Journal},
     volume = {58},
     year = {2017},
     doi = {10.21914/anziamj.v58i0.11281},
     language = {EN},
     url = {http://dml.mathdoc.fr/item/11281}
}

Zhang, Jichao; Lu, Xiaoping; Han, Yuecai. Pricing perpetual timer option under the stochastic volatility model of Hull–White. ANZIAM Journal, Tome 58 (2017) . doi : 10.21914/anziamj.v58i0.11281. http://gdmltest.u-ga.fr/item/11281/