Pricing American-style Parisian up-and-out call options
DOI10.1017/S0956792517000018zbMATH Open1401.91535MaRDI QIDQ4575271FDOQ4575271
Song-Ping Zhu, Nhat-Tan Le, Wen-Ting Chen, Xiaoping Lu
Publication date: 13 July 2018
Published in: European Journal of Applied Mathematics (Search for Journal in Brave)
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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