### volatility

Posted:

**December 2nd, 2019, 4:29 pm**Setting: Black-Scholes with deterministic volatility.

Vanilla options are priced with volatility equal to remaining variance/volatility [$] \int_t^T \sigma^2(u) du [$].

What kind of option, that is delta-hedgeable, has as input at current time [$] t [$] not the remaining variance, but the total variance [$] \int_0^T \sigma^2(u) du [$] from [$] u=0 [$] to [$] u = T[$]?

See also my question here.

Is it a timer option that I should be looking at?

Vanilla options are priced with volatility equal to remaining variance/volatility [$] \int_t^T \sigma^2(u) du [$].

What kind of option, that is delta-hedgeable, has as input at current time [$] t [$] not the remaining variance, but the total variance [$] \int_0^T \sigma^2(u) du [$] from [$] u=0 [$] to [$] u = T[$]?

See also my question here.

Is it a timer option that I should be looking at?