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Pricing American-style Parisian up-and-out call options - MaRDI portal

Pricing American-style Parisian up-and-out call options (Q4575271)

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scientific article; zbMATH DE number 6903415
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English
Pricing American-style Parisian up-and-out call options
scientific article; zbMATH DE number 6903415

    Statements

    title
    Pricing American-style Parisian up-and-out call options (English)
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    author
    Xiaoping Lu
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    Nhat-Tan Le
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    Wen-Ting Chen
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    Song-Ping Zhu
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    publication date
    13 July 2018
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    zbMATH Keywords
    integral equation approach
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    American-style Parisian options
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    Fourier sine transform
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    optimal exercise boundaries
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    91G60
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    60G40
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    zbMATH DE Number
    6903415
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