Pricing of Parisian Options for a Jump-Diffusion Model with Two-Sided Jumps
AbstractUsing the solution of one-sided exit problem, a procedure to price Parisian barrier options in a jump-diffusion model with two-sided exponential jumps is developed. By extending the method developed in Chesney, Jeanblanc-Picqué and Yor (1997; Brownian excursions and Parisian barrier options, Advances in Applied Probability , 29(1), pp. 165--184) for the diffusion case to the more general set-up, we arrive at a numerical pricing algorithm that significantly outperforms Monte Carlo simulation for the prices of such products.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Mathematical Finance.
Volume (Year): 19 (2012)
Issue (Month): 2 (July)
Contact details of provider:
Web page: http://taylorandfrancis.metapress.com/link.asp?target=journal&id=100141
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).
If references are entirely missing, you can add them using this form.