A Smoothed Perturbation Analysis of Parisian Options

DOI10.1109/TAC.2014.2326717zbMath1360.91140OpenAlexW2054610639MaRDI QIDQ2982850

Warren Volk-Makarewicz, Haralambie Leahu, Bernd F. Heidergott

Publication date: 16 May 2017

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/tac.2014.2326717

Mathematics Subject Classification ID

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

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