Fast binomial procedures for pricing Parisian/ParAsian options

DOI10.1007/s10287-017-0278-5zbMath1416.91402OpenAlexW2240848992MaRDI QIDQ1789619

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

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

Related Items (1)

American options and stochastic interest rates

Cites Work

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• Counting paths on a chessboard with a barrier
• An improved combinatorial approach for pricing Parisian options
• Pricing American barrier options with discrete dividends by binomial trees
• A combinatorial approach for pricing Parisian options.
• PRICING PARISIAN-STYLE OPTIONS WITH A LATTICE METHOD
• Option pricing: A simplified approach

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