PRICING DOUBLE BARRIER PARISIAN OPTIONS USING LAPLACE TRANSFORMS
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Publication:3632191
DOI10.1142/S0219024909005154zbMath1190.91143OpenAlexW1974481168MaRDI QIDQ3632191
Publication date: 23 June 2009
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024909005154
Laplace transformnumerical inversionBrownian excursionsParisian optiondouble barrier optionEuler summationsoption price regularity
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The joint distribution of Parisian and hitting times of Brownian motion with application to Parisian option pricing ⋮ Pricing American-style Parisian up-and-out call options ⋮ A general approach for Parisian stopping times under Markov processes ⋮ Capital Forbearance, Ex Ante Life Insurance Guaranty Schemes, and Interest Rate Uncertainty ⋮ Parisian options with jumps: a maturity–excursion randomization approach ⋮ Perturbed Brownian motion and its application to Parisian option pricing ⋮ On barrier strategy dividends with Parisian implementation delay for classical surplus processes ⋮ Double-Barrier Parisian Options ⋮ NEARLY EXACT OPTION PRICE SIMULATION USING CHARACTERISTIC FUNCTIONS ⋮ Double-sided Parisian option pricing ⋮ Recursive formula for the double-barrier Parisian stopping time ⋮ Pricing Parisian option under a stochastic volatility model
Cites Work
- Information, endogenous uncertainty and risk aversion
- The Fourier-series method for inverting transforms of probability distributions
- A combinatorial approach for pricing Parisian options.
- Multi-precision Laplace transform inversion
- PRICING PARISIAN-STYLE OPTIONS WITH A LATTICE METHOD
- Brownian Excursions and Parisian Barrier Options
- Brownian excursions and Parisian barrier options: a note
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