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The Timer Call is an Exotic option, that allows buyers to specify the level of volatility used to price the instrument. As with many leading ideas, the principle of the timer call is remarkably simple: instead of a dealer needing to use an implied volatility to use in pricing the option, the volatility is fixed, and the maturity is left floating. As a result of this, the Timer Call allows the pricing of call and put options on underlyings for which ordinary options are not priced; dealers in a normal option are exposed to the difference between the volatility they estimate and the realised volatility, whereas in a Timer Call, this risk is much diminished. == 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.〔http://www.risk.net/public/showPage.html?page=456849 SG CIB launches timer options. Retrieved on 2008-12-17〕 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)〔http://dx.doi.org/10.1146/annurev.financial.050808.114304〕 investigated the pricing and hedging of options on continuous semi-martingales. Li (2008)〔http://www.math.columbia.edu/~cxli/timer_option_final_paper_applied.pdf〕 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).〔http://ssrn.com/abstract=1612014〕 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. 抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』 ■ウィキペディアで「Timer Call」の詳細全文を読む スポンサード リンク
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