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Mijin Ha

Pusan National University

mulgeumup beomyeli

Pusan 609-735, 50612

Korea, Republic of (South Korea)

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Scholarly Papers (1)

1.

Pricing of American Timer Options

Number of pages: 19 Posted: 14 Jun 2024
Pusan National University, Pusan National University, Pusan National University and affiliation not provided to SSRN
Downloads 61 (980,173)

Abstract:

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American timer options, stochastic volatility (SV), asymptotic analysis, Monte Carlo simulation, freeboundary problem