PERFORMANCE MEASURE OF LAPLACE TRANSFORMS FOR PRICING PATH DEPENDENT OPTIONS

Pricing Parisian Options Using Laplace Transforms

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 prove the accuracy of the numerical inversion.

Pricing Asian options via Fourier and Laplace transforms

Pricing double barrier Parisian options using Laplace transforms

In this article, we study a double barrier version of the standard Parisian options. We give closed formulas for the Laplace transforms of their prices with respect to the maturity time. We explain how to invert them numerically and prove a result on the accuracy of the numerical inversion when the function to be recovered is sufficiently smooth. Henceforth, we study the regularity of the Paris...

A Finite Element Platform For Pricing Path-Dependent Exotic Options

For many path-dependent options, such as Asian options, lookbacks, Parisian options, using partial differentiation equation (PDE) approach to price these exotic options can be straightforward and flexible. In addition, modified versions of the standard exotic path-dependent options can be easily accommodated in the same pricing algorithms. For example, American early exercise features, barriers...

Numerical pricing of discrete barrier and lookback options via Laplace transforms

URL: www.thejournalofcomputationalfinance.com Most contracts of barrier and lookback options specify discrete monitoring policies. However, unlike their continuous counterparts, discrete barrier and lookback options essentially have no analytical solution. For a broad class of models, including the classical Brownian model and jump-diffusion models, we show that the Laplace transforms of discre...