PRICING DOUBLE BARRIER PARISIAN OPTIONS USING LAPLACE TRANSFORMS

DOI10.1142/S0219024909005154zbMath1190.91143OpenAlexW1974481168MaRDI QIDQ3632191

Céline Labart, Jérôme Lelong

Publication date: 23 June 2009

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024909005154

zbMATH Keywords

Laplace transformnumerical inversionBrownian excursionsParisian optiondouble barrier optionEuler summationsoption price regularity

Mathematics Subject Classification ID

Related Items (12)

The joint distribution of Parisian and hitting times of Brownian motion with application to Parisian option pricing ⋮ Pricing American-style Parisian up-and-out call options ⋮ A general approach for Parisian stopping times under Markov processes ⋮ Capital Forbearance, Ex Ante Life Insurance Guaranty Schemes, and Interest Rate Uncertainty ⋮ Parisian options with jumps: a maturity–excursion randomization approach ⋮ Perturbed Brownian motion and its application to Parisian option pricing ⋮ On barrier strategy dividends with Parisian implementation delay for classical surplus processes ⋮ Double-Barrier Parisian Options ⋮ NEARLY EXACT OPTION PRICE SIMULATION USING CHARACTERISTIC FUNCTIONS ⋮ Double-sided Parisian option pricing ⋮ Recursive formula for the double-barrier Parisian stopping time ⋮ Pricing Parisian option under a stochastic volatility model

Cites Work

• Information, endogenous uncertainty and risk aversion
• The Fourier-series method for inverting transforms of probability distributions
• A combinatorial approach for pricing Parisian options.
• Multi-precision Laplace transform inversion
• PRICING PARISIAN-STYLE OPTIONS WITH A LATTICE METHOD
• Brownian Excursions and Parisian Barrier Options
• Brownian excursions and Parisian barrier options: a note

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