PRICING PARISIAN-STYLE OPTIONS WITH A LATTICE METHOD
From MaRDI portal
Publication:3523509
DOI10.1142/S0219024999000029zbMath1153.91459MaRDI QIDQ3523509
Publication date: 3 September 2008
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Related Items (18)
On Parisian option pricing for uncertain currency model ⋮ The joint distribution of Parisian and hitting times of Brownian motion with application to Parisian option pricing ⋮ Parisian exchange options ⋮ American Parisian options ⋮ A general approach for Parisian stopping times under Markov processes ⋮ WHEN THE BUBBLE IS GOING TO BURST … ⋮ Parisian options with jumps: a maturity–excursion randomization approach ⋮ The Bankruptcy Cost of the Life Insurance Industry Under Regulatory Forbearance ⋮ An improved combinatorial approach for pricing Parisian options ⋮ Counting paths on a chessboard with a barrier ⋮ Arbitrage pricing of defaultable game options with applications to convertible bonds ⋮ Default risk, bankruptcy procedures and the market value of life insurance liabilities ⋮ Fast binomial procedures for pricing Parisian/ParAsian options ⋮ Valuation model for Chinese convertible bonds with soft call/put provision under the hybrid willow tree ⋮ PRICING DOUBLE BARRIER PARISIAN OPTIONS USING LAPLACE TRANSFORMS ⋮ Entry and Exit Decision Problem with Implementation Delay ⋮ Pricing Parisian option under a stochastic volatility model ⋮ The market pricing of the lifeboat provision in a closed-end fund
Cites Work
This page was built for publication: PRICING PARISIAN-STYLE OPTIONS WITH A LATTICE METHOD
