IDEAS home Printed from https://ideas.repec.org/a/spr/decfin/v33y2010i1p49-61.html
   My bibliography  Save this article

An improved combinatorial approach for pricing Parisian options

Author

Listed:
  • Yuh-Dauh Lyuu
  • Cheng-Wei Wu

Abstract

No abstract is available for this item.

Suggested Citation

  • Yuh-Dauh Lyuu & Cheng-Wei Wu, 2010. "An improved combinatorial approach for pricing Parisian options," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 33(1), pages 49-61, May.
    • Handle: RePEc:spr:decfin:v:33:y:2010:i:1:p:49-61
    DOI: 10.1007/s10203-009-0099-2
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/s10203-009-0099-2
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1007/s10203-009-0099-2?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Lyuu,Yuh-Dauh, 2002. "Financial Engineering and Computation," Cambridge Books, Cambridge University Press, number 9780521781718.
    2. Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
    3. Marco Avellaneda & Lixin Wu, 1999. "Pricing Parisian-Style Options With A Lattice Method," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 2(01), pages 1-16.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Marcellino Gaudenzi & Antonino Zanette, 2017. "Fast binomial procedures for pricing Parisian/ParAsian options," Computational Management Science, Springer, vol. 14(3), pages 313-331, July.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Kyoung-Sook Moon & Yunju Jeong & Hongjoong Kim, 2016. "An Efficient Binomial Method for Pricing Asian Options," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 50(2), pages 151-164.
    2. U Hou Lok & Yuh‐Dauh Lyuu, 2020. "Efficient trinomial trees for local‐volatility models in pricing double‐barrier options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(4), pages 556-574, April.
    3. Tian-Shyr Dai, 2009. "Efficient option pricing on stocks paying discrete or path-dependent dividends with the stair tree," Quantitative Finance, Taylor & Francis Journals, vol. 9(7), pages 827-838.
    4. Dai, Tian-Shyr & Yang, Sharon S. & Liu, Liang-Chih, 2015. "Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 364-379.
    5. U Hou Lok & Yuh-Dauh Lyuu, 2022. "A Valid and Efficient Trinomial Tree for General Local-Volatility Models," Computational Economics, Springer;Society for Computational Economics, vol. 60(3), pages 817-832, October.
    6. Dybvig, Philip H. & Gong, Ning & Schwartz, Rachel, 2000. "Bias of Damage Awards and Free Options in Securities Litigation," Journal of Financial Intermediation, Elsevier, vol. 9(2), pages 149-168, April.
    7. Boyarchenko, Svetlana & Levendorskii[caron], Sergei, 2007. "Optimal stopping made easy," Journal of Mathematical Economics, Elsevier, vol. 43(2), pages 201-217, February.
    8. Robert C. Merton, 2006. "Paul Samuelson and Financial Economics," The American Economist, Sage Publications, vol. 50(2), pages 9-31, October.
    9. Ammann, Manuel & Kind, Axel & Wilde, Christian, 2003. "Are convertible bonds underpriced? An analysis of the French market," Journal of Banking & Finance, Elsevier, vol. 27(4), pages 635-653, April.
    10. Helga Meier & Nicos Christofides & Gerry Salkin, 2001. "Capital Budgeting Under Uncertainty---An Integrated Approach Using Contingent Claims Analysis and Integer Programming," Operations Research, INFORMS, vol. 49(2), pages 196-206, April.
    11. Pringles, Rolando & Olsina, Fernando & Penizzotto, Franco, 2020. "Valuation of defer and relocation options in photovoltaic generation investments by a stochastic simulation-based method," Renewable Energy, Elsevier, vol. 151(C), pages 846-864.
    12. Kim, Amy M. & Li, Huanan, 2020. "Incorporating the impacts of climate change in transportation infrastructure decision models," Transportation Research Part A: Policy and Practice, Elsevier, vol. 134(C), pages 271-287.
    13. Collan, Mikael, 2008. "New Method for Real Option Valuation Using Fuzzy Numbers," Working Papers 466, IAMSR, Åbo Akademi.
    14. Juan M. Londono & Mehrdad Samadi, 2023. "The Price of Macroeconomic Uncertainty: Evidence from Daily Options," International Finance Discussion Papers 1376, Board of Governors of the Federal Reserve System (U.S.).
    15. Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer, 2016. "Connecting VIX and Stock Index ETF," Tinbergen Institute Discussion Papers 16-010/III, Tinbergen Institute, revised 23 Jan 2017.
    16. Bernard Dumas & Andrew Lyasoff, 2012. "Incomplete-Market Equilibria Solved Recursively on an Event Tree," Journal of Finance, American Finance Association, vol. 67(5), pages 1897-1941, October.
    17. Guedes, José & Santos, Pedro, 2016. "Valuing an offshore oil exploration and production project through real options analysis," Energy Economics, Elsevier, vol. 60(C), pages 377-386.
    18. Krzysztof S. Targiel & Maciej Nowak & Tadeusz Trzaskalik, 2018. "Scheduling non-critical activities using multicriteria approach," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 26(3), pages 585-598, September.
    19. Raisa Pérez-Vas & Félix Puime Guillén & Joaquín Enríquez-Díaz, 2021. "Valuation of a Company Producing and Trading Seaweed for Human Consumption: Classical Methods vs. Real Options," IJERPH, MDPI, vol. 18(10), pages 1-13, May.
    20. Biancardi, Marta & Di Bari, Antonio & Villani, Giovanni, 2021. "R&D investment decision on smart cities: Energy sustainability and opportunity," Chaos, Solitons & Fractals, Elsevier, vol. 153(P2).

    More about this item

    Keywords

    Parisian option; Option pricing; Binomial tree model; Combinatorial method; C63;
    All these keywords.

    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:decfin:v:33:y:2010:i:1:p:49-61. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.