History
It appears that the idea was first published in the literature in April 1995 in Management Science by Avi Bick. This paper contained the same idea (including the derivation of the relevant formula) that has since been popularised. In 2007, Société Générale Corporate and Investment Banking (SG CIB) started to market this idea, apparently oblivious of Bick's earlier work in the area. Indisputably, SG CIB popularised it. Since then, most dealers have put in place the technology to offer this sort of option. Assuming the interest rate is zero, Carr and Lee (2010) investigated the pricing and hedging of options on continuous semi-martingales. Li (2008) gave an explicit formula for pricing timer options under the Heston (1993) stochastic volatility model. His result is a natural generalization of Black-Scholes-Merton formula for pricing European options and reconciles with the zero interest rate case in Carr and Lee (2010). An efficient numerical technique is proposed by Bernard and Cui (2011). Li (2008) provides some insight of using the Bessel process with constant drift, which was studied in Linetsky (2004), with drift to characterize the distribution of the so called volatility clock under the celebrated Heston (1993) stochastic volatility model.
Read more about this topic: Timer Call
Famous quotes containing the word history:
“False history gets made all day, any day,
the truth of the new is never on the news
False history gets written every day
...
the lesbian archaeologist watches herself
sifting her own life out from the shards shes piecing,
asking the clay all questions but her own.”
—Adrienne Rich (b. 1929)
“There is a history in all mens lives,
Figuring the natures of the times deceased,
The which observed, a man may prophesy,
With a near aim, of the main chance of things
As yet not come to life.”
—William Shakespeare (15641616)
“The history of modern art is also the history of the progressive loss of arts audience. Art has increasingly become the concern of the artist and the bafflement of the public.”
—Henry Geldzahler (19351994)