Parisian option pricing: a recursive solution for the density of the Parisian stopping time
DOI10.1137/120875466zbMATH Open1295.91098OpenAlexW2018883703MaRDI QIDQ2873142FDOQ2873142
Publication date: 23 January 2014
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: http://eprints.lse.ac.uk/58985/
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Brownian motionprobability density functionVolterra equationParisian optionprice of a Parisian down-and-in call
Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Numerical methods (including Monte Carlo methods) (91G60) Brownian motion (60J65) Diffusion processes and stochastic analysis on manifolds (58J65)
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- An improved combinatorial approach for pricing Parisian options
- PRICING DOUBLE BARRIER PARISIAN OPTIONS USING LAPLACE TRANSFORMS
- A general approach for Parisian stopping times under Markov processes
- Recursive formula for the double-barrier Parisian stopping time
- A temporal approach to the Parisian risk model
- A combinatorial approach for pricing Parisian options.
- An analytical solution for the two-sided Parisian stopping time, its asymptotics, and the pricing of Parisian options
- Parisian options with jumps: a maturity–excursion randomization approach
- An efficient algorithm for simulating the drawdown stopping time and the running maximum of a Brownian motion
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