Parasian over Parisian, how much earlier should one exercise?

DOI10.1142/s0219024924500225MaRDI QIDQ6649936

Lin Ai, Song-Ping Zhu

Publication date: 6 December 2024

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

zbMATH Keywords

Fourier sine transformintegral equationsoptimal exercise priceParasian option

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Cites Work

• Unnamed Item
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• PRICING PARISIAN-STYLE OPTIONS WITH A LATTICE METHOD
• PRICING DOUBLE BARRIER PARISIAN OPTIONS USING LAPLACE TRANSFORMS
• Brownian Excursions and Parisian Barrier Options
• The Numerical Solution of Integral Equations of the Second Kind
• Pricing American-style Parisian up-and-out call options
• An algorithm for the numerical inversion of Laplace transforms
• Brownian excursions and Parisian barrier options: a note
• The Mathematics of Financial Derivatives
• Boundary Element Methods

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