Pricing American-style Parisian up-and-out call options

DOI10.1017/S0956792517000018MaRDI QIDQ4575271zbMATH OpenFDO

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)

zbMATH Keywords

Fourier sine transformintegral equation approachAmerican-style Parisian optionsoptimal exercise boundaries

Mathematics Subject Classification ID

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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Cites work

• scientific article; zbMATH DE number 5145313 (Why is no real title available?)
• scientific article; zbMATH DE number 5767931 (Why is no real title available?)
• scientific article; zbMATH DE number 1391030 (Why is no real title available?)
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• Brownian excursions and Parisian barrier options: a note
• PRICING DOUBLE BARRIER PARISIAN OPTIONS USING LAPLACE TRANSFORMS
• Partial differential equations. Methods, applications and theories
• Perturbed Brownian motion and its application to Parisian option pricing
• Pricing Parisian and Parasian options analytically
• Pricing Parisian down-and-in options
• Pricing and Hedging American Options Using Approximations by Kim Integral Equations *
• The heat equation and reflected Brownian motion in time-dependent domains.
• The heat equation and reflected Brownian motion in time-dependent domains. II: Singularities of solutions.
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Cited in

(15)

• 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
• Fast Laplace transform methods for the PDE system of Parisian and Parasian option pricing
• A general approach for Parisian stopping times under Markov processes
• Pricing Parisian and Parasian options analytically
• Pricing American Parisian options under general time-inhomogeneous Markov models
• 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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