Pricing of Parisian Options for a Jump-Diffusion Model with Two-Sided Jumps

DOI10.1080/1350486X.2011.599976zbMath1372.91100OpenAlexW2069711602MaRDI QIDQ5363115

Dominik Kortschak, Xiao-Wen Zhou, Hansjoerg Albrecher

Publication date: 5 October 2017

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486x.2011.599976

zbMATH Keywords

Laplace transformjump-diffusion modelParisian optionsone-sided exit problemdouble-exponential model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Parisian quasi-stationary distributions for asymmetric Lévy processes ⋮ Parisian ruin probability with a lower ultimate bankrupt barrier ⋮ Discrete time ruin probability with Parisian delay ⋮ A General Valuation Framework for SABR and Stochastic Local Volatility Models ⋮ Asymptotics of Parisian ruin of Brownian motion risk model over an infinite-time horizon ⋮ A general approach for Parisian stopping times under Markov processes ⋮ Lévy risk model with two-sided jumps and a barrier dividend strategy ⋮ Robust barrier option pricing by frame projection under exponential Lévy dynamics ⋮ Parisian options with jumps: a maturity–excursion randomization approach ⋮ NEARLY EXACT OPTION PRICE SIMULATION USING CHARACTERISTIC FUNCTIONS ⋮ Dividend problem with Parisian delay for a spectrally negative Lévy risk process ⋮ A temporal approach to the Parisian risk model ⋮ Ruin Probability with Parisian Delay for a Spectrally Negative Lévy Risk Process