AN ANALYTICAL SOLUTION FOR PARISIAN UP-AND-IN CALLS
نویسندگان
چکیده
منابع مشابه
An analytical solution for Parisian up-and-in calls
In this work, we derive an analytical solution for the value of Parisian up-and-in calls by using the “moving window” technique developed by Zhu and Chen [15] for pricing European-style Parisian up-and-out calls. Our pricing formula can be applied to both European-style and American-style Parisian up-and-in calls, due to the fact that with an “in” barrier, the option holder cannot do or decide ...
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ژورنال
عنوان ژورنال: The ANZIAM Journal
سال: 2016
ISSN: 1446-1811,1446-8735
DOI: 10.1017/s1446181115000267