Double-sided Parisian option pricing
نویسندگان
چکیده
In this paper we derive Fourier transforms for double sided Parisian option contracts. The double sided Parisian option contract is triggered by the stock price process spending some time above an upper level or below some lower level. The double sided Parisian knock-in call contract is the general type of Parisian contract from which all the one-sided contract types follow. We also discuss the Fourier inversion in the paper and conclude with a series of numerical examples, explaining the Parisian optionality and the way prices are affected by the local behavior of Brownian motion in detail.
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ورودعنوان ژورنال:
- Finance and Stochastics
دوره 13 شماره
صفحات -
تاریخ انتشار 2009