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

Parisian optionstree methodscombinatorial formulasbinomial methodsParAsian options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) 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)

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Cites work

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

Cited in

(7)

• An improved combinatorial approach for pricing Parisian options
• PRICING PARISIAN-STYLE OPTIONS WITH A LATTICE METHOD
• Asymptotic study of stochastic algorithms and price calculations of Parisian options.
• Pricing Parisian and Parasian options analytically
• American options and stochastic interest rates
• A combinatorial approach for pricing Parisian options.
• Parasian over Parisian, how much earlier should one exercise?

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