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摘要翻译：
本文将Duru和Kleinert用路径积分处理氢原子时所用的时间代换方法应用于随机波动率模型下定时器期权的定价。给出了永久定时器看涨期权和有限时域定时器看涨期权的一般定价公式。这些一般性的结果使我们可以在3/2随机波动率模型和Heston随机波动率模型下，找到永久和有限时域定时器期权的闭式定价公式。对于3/2模型下的定时器选择，我们将依赖于Morse势的路径积分，对于Heston模型，我们将依赖于Kratzer势。
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英文标题：
《Path integral approach to the pricing of timer options with the
Duru-Kleinert time transformation》
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作者：
Ling Zhi Liang and Damiaan Lemmens and Jacques Tempere
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最新提交年份：
2011
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
In this paper, a time substitution as used by Duru and Kleinert in their treatment of the hydrogen atom with path integrals is performed to price timer options under stochastic volatility models. We present general pricing formulas for both the perpetual timer call options and the finite time-horizon timer call options. These general results allow us to find closed-form pricing formulas for both the perpetual and the finite time-horizon timer options under the 3/2 stochastic volatility model as well as under the Heston stochastic volatility model. For the treatment of timer option under the 3/2 model we will rely on the path integral for the Morse potential, with the Heston model we will rely on the Kratzer potential.
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PDF链接：
https://arxiv.org/pdf/1101.3713
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