Corrigendum to ``Pricing American-style Parisian down-and-out call options'' [Applied Mathematics and Computation 305 (2017) 330–347]
نویسندگان
چکیده
منابع مشابه
Pricing American-Style Derivatives with European Call Options
W present a new approach to pricing American-style derivatives that is applicable to any Markovian setting (i.e., not limited to geometric Brownian motion) for which European call-option prices are readily available. By approximating the value function with an appropriately chosen interpolation function, the pricing of an American-style derivative with arbitrary payoff function is converted to ...
متن کاملPricing Parisian Options
In this work, we propose to price Parisian options using Laplace transforms. Not only, do we compute the Laplace transforms of all the different Parisian options, but we also explain how to invert them numerically. We discuss the accuracy of the numerical inversion and present the evolution of the Greeks through a few graphs.
متن کاملPricing Parisian Options
Parisian options are barrier options for which the knock-in/knock-out feature is only activated after the price process has spent a certain prescribed, consecutive time beyond the barrier. This specification has two motivations: First, there is the need to make the option more robust against short-term movements of the share price. This is achieved in Parisian options where it is ensured that a...
متن کاملAmerican Parisian options
In this article, we describe the various sorts of American Parisian options and propose valuation formulae. Although there is no closed-form valuation for these products in the non-perpetual case, we have been able to reformulate their price as a function of the exercise frontier. In the perpetual case, closed form solutions or approximations are obtained by relying on excursion theory. We deri...
متن کاملCorrigendum to published papers in Applied Mathematics and Computation
The authors appreciate Professor Cheng-De Zheng pointing errors in definition of LMI variable [1–8] and would like to correct an error in definition of an LMI variable of the paper [1–8]. In [1–8], Theorems or Corollaries present stability or stabilization criteria for the system with uncertainties or nonlinear perturbations. In [1–8], the LMI variables H in [1–3,5– 8], Hi ði 1⁄4 1;2Þ in [4], a...
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ژورنال
عنوان ژورنال: Applied Mathematics and Computation
سال: 2018
ISSN: 0096-3003
DOI: 10.1016/j.amc.2017.11.002