Researchers study the analytic pricing formulas of vulnerable timer options

A timer option is a financial instrument, launched by Société Générale Corporate and Investment Banking in 2007, that allows buyers to specify the level of volatility and allows them to exercise their option at a random maturity time. In other words, the payoff of the timer option depends only on a random date determined by the time needed to realize a prescribed variance budget for the underlying asset. This is contrary to vanilla options, which are always exercised at a fixed, predetermined price within a given timeframe.