Parisian Option Pricing: A Recursive Solution for the Density of the Parisian Stopping Time (Q2873142)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Parisian Option Pricing: A Recursive Solution for the Density of the Parisian Stopping Time |
scientific article |
Statements
Parisian Option Pricing: A Recursive Solution for the Density of the Parisian Stopping Time (English)
0 references
23 January 2014
0 references
Parisian option
0 references
Brownian motion
0 references
Volterra equation
0 references
probability density function
0 references
price of a Parisian down-and-in call
0 references
