An improved combinatorial approach for pricing Parisian options

DOI10.1007/s10203-009-0099-2zbMath1202.91322OpenAlexW2086261081MaRDI QIDQ965783

Yuh-Dauh Lyuu, Cheng-Wei Wu

Publication date: 26 April 2010

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-009-0099-2

zbMATH Keywords

option pricingbinomial tree modelParisian optioncombinatorial method

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Analysis of algorithms and problem complexity (68Q25) Combinatorics in computer science (68R05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Fast binomial procedures for pricing Parisian/ParAsian options

Cites Work

• A combinatorial approach for pricing Parisian options.
• PRICING PARISIAN-STYLE OPTIONS WITH A LATTICE METHOD
• Brownian Excursions and Parisian Barrier Options
• Brownian excursions and Parisian barrier options: a note
• Option pricing: A simplified approach
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