Timer Option Variance Budget Calculator

Price timer options that expire when cumulative realized variance reaches a budget V. Timer options are robust to volatility surface model: price = BSM with sigma = sqrt(V/B) for any stochastic vol model.

Principal ($)
Annual Rate (%)
Years
Compounding / Year
$ Finance Disclaimer: These calculators are for educational and illustrative purposes only. Results do not constitute financial advice. Consult a licensed financial advisor before making investment or borrowing decisions.
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How to Use

Enter the values for the scenario you are assessing. Price timer options that expire when cumulative realized variance reaches a budget V. Timer options are robust to volatility surface model: price = BSM with sigma = sqrt(V/B) for any stochastic vol model. Use the timer option variance result to inform your calculation.

Frequently Asked Questions