PRICING DOUBLE BARRIER PARISIAN OPTIONS USING LAPLACE TRANSFORMS

DOI10.1142/S0219024909005154zbMATH Open1190.91143OpenAlexW1974481168MaRDI QIDQ3632191FDOQ3632191

Authors: Céline Labart, Jérôme Lelong 

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

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zbMATH Keywords

Laplace transformnumerical inversionBrownian excursionsParisian optiondouble barrier optionEuler summationsoption price regularity

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Laplace transform (44A10)

Cites Work

• Multi-precision Laplace transform inversion
• Brownian Excursions and Parisian Barrier Options
• PRICING PARISIAN-STYLE OPTIONS WITH A LATTICE METHOD
• The Fourier-series method for inverting transforms of probability distributions
• Brownian excursions and Parisian barrier options: a note
• A combinatorial approach for pricing Parisian options.
• Information, endogenous uncertainty and risk aversion

Cited In (15)

• Parisian options with jumps: a maturity-excursion randomization approach
• Pricing Parisian option under a stochastic volatility model
• The joint distribution of Parisian and hitting times of Brownian motion with application to Parisian option pricing
• A general approach for Parisian stopping times under Markov processes
• Fast Laplace transform methods for the PDE system of Parisian and Parasian option pricing
• Perturbed Brownian motion and its application to Parisian option pricing
• Nearly exact option price simulation using characteristic functions
• Double-sided Parisian option pricing
• Recursive formula for the double-barrier Parisian stopping time
• Capital Forbearance, Ex Ante Life Insurance Guaranty Schemes, and Interest Rate Uncertainty
• Parasian over Parisian, how much earlier should one exercise?
• Double-barrier Parisian options
• On three methods for analytic Laplace inversion in the framework of Brownian motion and their excursions
• Pricing American-style Parisian up-and-out call options
• On barrier strategy dividends with Parisian implementation delay for classical surplus processes

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