PRICING DOUBLE BARRIER PARISIAN OPTIONS USING LAPLACE TRANSFORMS

DOI10.1142/S0219024909005154MaRDI QIDQ3632191zbMATH OpenOpenAlexFDO

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

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)

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• PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
• Parisian option pricing: a recursive solution for the density of the Parisian stopping time

Cites work

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

Cited in

(15)

• Parisian options with jumps: a maturity-excursion randomization approach
• The joint distribution of Parisian and hitting times of Brownian motion with application to Parisian option pricing
• Pricing Parisian option under a stochastic volatility model
• Fast Laplace transform methods for the PDE system of Parisian and Parasian option pricing
• A general approach for Parisian stopping times under Markov processes
• 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
• Double-barrier Parisian options
• Parasian over Parisian, how much earlier should one exercise?
• On three methods for analytic Laplace inversion in the framework of Brownian motion and their excursions
• On barrier strategy dividends with Parisian implementation delay for classical surplus processes
• Pricing American-style Parisian up-and-out call options

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