Pricing American-style Parisian up-and-out call options
DOI10.1017/S0956792517000018zbMATH Open1401.91535MaRDI QIDQ4575271FDOQ4575271
Authors: Xiaoping Lu, Nhat-Tan Le, Wen-Ting Chen, Song-Ping Zhu 
Publication date: 13 July 2018
Published in: European Journal of Applied Mathematics (Search for Journal in Brave)
Recommendations
Fourier sine transformintegral equation approachAmerican-style Parisian optionsoptimal exercise boundaries
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40)
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Cited In (14)
- PRICING PARISIAN-STYLE OPTIONS WITH A LATTICE METHOD
- Pricing American-style Parisian down-and-out call options
- Parisian option's PDE pricing and its implicit difference method
- A new integral equation approach for pricing American-style barrier options with rebates
- Pricing Parisian down-and-in options
- A general approach for Parisian stopping times under Markov processes
- Fast Laplace transform methods for the PDE system of Parisian and Parasian option pricing
- Pricing Parisian and Parasian options analytically
- American Parisian options
- Double-sided Parisian option pricing
- Parisian exchange options
- Parasian over Parisian, how much earlier should one exercise?
- An integral equation approach for the valuation of American-style down-and-out calls with rebates
- An analytical solution for Parisian up-and-in calls
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