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

DOI10.1017/S0956792517000018zbMath1401.91535MaRDI QIDQ4575271

Nhat-Tan Le, Wen-Ting Chen, Xiaoping Lu, Song-Ping Zhu

Publication date: 13 July 2018

Published in: European Journal of Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

Fourier sine transformintegral equation approachAmerican-style Parisian optionsoptimal exercise boundaries

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Fast Laplace transform methods for the PDE system of Parisian and Parasian option pricing ⋮ A general approach for Parisian stopping times under Markov processes

Cites Work

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