Parisian Option Pricing: A Recursive Solution for the Density of the Parisian Stopping Time

DOI10.1137/120875466zbMath1295.91098OpenAlexW2018883703MaRDI QIDQ2873142

Angelos Dassios, Jia Wei Lim

Publication date: 23 January 2014

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: http://eprints.lse.ac.uk/58985/

zbMATH Keywords

Brownian motionprobability density functionVolterra equationParisian optionprice of a Parisian down-and-in call

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Brownian motion (60J65) Derivative securities (option pricing, hedging, etc.) (91G20) Diffusion processes and stochastic analysis on manifolds (58J65) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (5)

A general approach for Parisian stopping times under Markov processes ⋮ An efficient algorithm for simulating the drawdown stopping time and the running maximum of a Brownian motion ⋮ Parisian options with jumps: a maturity–excursion randomization approach ⋮ Recursive formula for the double-barrier Parisian stopping time ⋮ A temporal approach to the Parisian risk model

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