منابع مشابه
Pricing 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 کاملPricing Parisian and Parasian options analytically
In this paper, two analytic solutions for the valuation of European-style Parisian and Par. asian options under the Black-Scholes framework are, respectively, presented. A key feature of our solution procedure is the reduction of a three-dimensional problem to a two-dimensional problem through a coordinate transform designed to combine the two time derivatives into one. Compared with some previ...
متن کاملPricing 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.
متن کاملPricing Parisian Options: Combinatorics, Simulation, and Parallel Processing
Financial engineering and financial innovation flourished in last decades. We have developed many new financial products to provide hedge instruments for risk management, and promoted market efficiency and completeness. The pricing problems of this financial field will try to build mathematical models and derive analytic pricing formulas. But most exotic derivatives are too complicated to deriv...
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ژورنال
عنوان ژورنال: Applied Mathematics Letters
سال: 2015
ISSN: 0893-9659
DOI: 10.1016/j.aml.2014.10.019