Pricing American-style Parisian down-and-out call options
DOI10.1016/J.AMC.2017.02.015zbMATH Open1411.91571OpenAlexW2593115344MaRDI QIDQ1735448FDOQ1735448
Authors: Nhat-Tan Le, Xiaoping Lu, Song-Ping Zhu, D. M. Dang 
Publication date: 28 March 2019
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2017.02.015
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Fourier sine transformcoupled integral equationsintegral equation approachAmerican-style Parisian options
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Cites Work
- Quadratic convergence for valuing American options using a penalty method
- Title not available (Why is that?)
- Brownian Excursions and Parisian Barrier Options
- The representation of American options prices under stochastic volatility and jump-diffusion dynamics
- Finite element solution of diffusion problems with irregular data
- Excursions height- and length-related stopping times, and application to finance
- Perturbed Brownian motion and its application to Parisian option pricing
- American Parisian options
- Pricing Parisian and Parasian options analytically
- Title not available (Why is that?)
- Title not available (Why is that?)
- American Call Options Under Jump‐Diffusion Processes – A Fourier Transform Approach
- A decomposition approach via Fourier sine transform for valuing American knock-out options with rebates
- Default risk, bankruptcy procedures and the market value of life insurance liabilities
- Partial differential equations. Methods, applications and theories
- An algorithm for the numerical inversion of Laplace transforms
- An integral equation approach for the valuation of American-style down-and-out calls with rebates
- Title not available (Why is that?)
Cited In (9)
- A new approach for pricing discounted American options
- Parisian options with jumps: a maturity-excursion randomization approach
- Path-dependent game options with Asian features
- Perpetual game options with a multiplied penalty
- A new integral equation approach for pricing American-style barrier options with rebates
- Pricing Parisian down-and-in options
- Parasian over Parisian, how much earlier should one exercise?
- An integral equation approach for the valuation of American-style down-and-out calls with rebates
- Pricing American-style Parisian up-and-out call options
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