Pricing American-style Parisian down-and-out call options

DOI10.1016/J.AMC.2017.02.015MaRDI QIDQ1735448zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Fourier sine transformcoupled integral equationsintegral equation approachAmerican-style Parisian options

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 5145313 (Why is no real title available?)
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• scientific article; zbMATH DE number 3505466 (Why is no real title available?)
• scientific article; zbMATH DE number 1391030 (Why is no real title available?)
• A decomposition approach via Fourier sine transform for valuing American knock-out options with rebates
• American Call Options Under Jump‐Diffusion Processes – A Fourier Transform Approach
• American Parisian options
• 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
• Brownian Excursions and Parisian Barrier Options
• Default risk, bankruptcy procedures and the market value of life insurance liabilities
• Excursions height- and length-related stopping times, and application to finance
• Finite element solution of diffusion problems with irregular data
• Partial differential equations. Methods, applications and theories
• Perturbed Brownian motion and its application to Parisian option pricing
• Pricing Parisian and Parasian options analytically
• Quadratic convergence for valuing American options using a penalty method
• The representation of American options prices under stochastic volatility and jump-diffusion dynamics

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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