Pricing Parisian option under a stochastic volatility model (Q2336869)
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| Language | Label | Description | Also known as |
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| English | Pricing Parisian option under a stochastic volatility model |
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Pricing Parisian option under a stochastic volatility model (English)
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19 November 2019
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Summary: We study the pricing of a Parisian option under a stochastic volatility model. Based on the manipulation problem that barrier options might create near barriers, the Parisian option has been designed as an extended barrier option. A stochastic volatility correction to the Black-Scholes price of the Parisian option is obtained in a partial differential equation form and the solution is characterized numerically.
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