Fast binomial procedures for pricing Parisian/ParAsian options

DOI10.1007/S10287-017-0278-5MaRDI QIDQ1789619zbMATH OpenOpenAlexFDO

Authors Marcellino Gaudenzi, Antonino Zanette

Publication date 10 October 2018

Published in Computational Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10287-017-0278-5

zbMATH Keywords

binomial methodscombinatorial formulasParAsian optionsParisian optionstree methods

Mathematics Subject Classification ID

Combinatorial probability (60C05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A combinatorial approach for pricing Parisian options.
• An improved combinatorial approach for pricing Parisian options
• Counting paths on a chessboard with a barrier
• scientific article; zbMATH DE number 3249395 (Why is no real title available?)
• Option pricing: A simplified approach
• Pricing American barrier options with discrete dividends by binomial trees
• PRICING PARISIAN-STYLE OPTIONS WITH A LATTICE METHOD

Cited in

(8)

• A combinatorial approach for pricing Parisian options.
• American options and stochastic interest rates
• Pricing Parisian and Parasian options analytically
• PRICING PARISIAN-STYLE OPTIONS WITH A LATTICE METHOD
• Asymptotic study of stochastic algorithms and price calculations of Parisian options.
• Parasian over Parisian, how much earlier should one exercise?
• Combining lattice and regression methods for the evaluation of convertible bonds with soft call/put provisions
• An improved combinatorial approach for pricing Parisian options

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