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Closed Form Approximation of Timer Option Prices under General Stochastic Volatility Models

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Figure

Table 1: Accuracy of Timer Call Price Approximation in the Heston Model
Table 2: Accuracy of Timer Call Price Approximation in the 3/2 Model
Table 3: Sensitivity Analysis of Timer Call Prices in Heston Model
Figure 1: Black-Scholes implied volatility surface for timer options under the HestonTable 1.model
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