AN ANALYTICAL SOLUTION FOR PARISIAN UP-AND-IN CALLS

DOI10.1017/S1446181115000267zbMath1415.91286MaRDI QIDQ5369444

Xiaoping Lu, Nhat-Tan Le, Song-Ping Zhu

Publication date: 17 October 2017

Published in: The ANZIAM Journal (Search for Journal in Brave)

zbMATH Keywords

analytical solutionsParisian optionscoupled integral equations``moving window technique

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

A general approach for Parisian stopping times under Markov processes ⋮ Pricing down-and-out power options with exponentially curved barrier

Cites Work

• The Pricing of Options and Corporate Liabilities
• Pricing Parisian and Parasian options analytically
• Convergence and biases of Monte Carlo estimates of American option prices using a parametric exercise rule
• The valuation of American barrier options using the decomposition technique
• Pricing Parisian down-and-in options
• A moving boundary approach to American option pricing
• A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS
• CALCULATING THE EARLY EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS WITH AN APPROXIMATION FORMULA
• Optimal Stopping and the American Put
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• Option pricing: A simplified approach
• An exact and explicit solution for the valuation of American put options

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