Double-barrier Parisian Options
نویسنده
چکیده
In this paper we study the excursion time of a Brownian motion with drift outside a corridor by using a four-state semi-Markov model. In mathematical finance, these results have an important application in the valuation of double-barrier Parisian options. We subsequently obtain an explicit expression for the Laplace transform of its price.
منابع مشابه
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...
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 کاملBrownian Excursions and Parisian Barrier Options
A new kind of option called hereafter a Parisian barrier option is studied in this paper This option is the following variant of the so called barrier option a down and out barrier option becomes worthless as soon as a barrier is reached whereas a down and out Parisian barrier option is lost by the owner if the underlying asset reaches a prespeci ed level and remains constantly below this level...
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 کاملBrownian Excursions and Parisian Barrier Options: a Note
This paper addresses the Paris barrier options of [CJY] and their valuation using the Laplace transform approach. The notion of the Paris barrier options is extended such that their valuation is possible at any point during their lifespan, and the pertinent Laplace transforms of [CJY] are modified when necessary.
متن کامل