Pricing American-style Parisian down-and-out call options

DOI10.1016/j.amc.2017.02.015zbMath1411.91571OpenAlexW2593115344MaRDI QIDQ1735448

Song-Ping Zhu, Xiaoping Lu, Nhat-Tan Le, Duy Minh Dang

Publication date: 28 March 2019

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2017.02.015

zbMATH Keywords

Fourier sine transformcoupled integral equationsintegral equation approachAmerican-style Parisian options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

Path-dependent game options with Asian features ⋮ A new approach for pricing discounted American options ⋮ Perpetual game options with a multiplied penalty ⋮ Parisian options with jumps: a maturity–excursion randomization approach

Cites Work

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• An algorithm for the numerical inversion of Laplace transforms
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• Partial Differential Equations

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