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Double-sided Parisian option pricing

Author

Listed:
  • J. Anderluh
  • J. Weide

Abstract

No abstract is available for this item.

Suggested Citation

  • J. Anderluh & J. Weide, 2009. "Double-sided Parisian option pricing," Finance and Stochastics, Springer, vol. 13(2), pages 205-238, April.
    • Handle: RePEc:spr:finsto:v:13:y:2009:i:2:p:205-238
    DOI: 10.1007/s00780-009-0090-3
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    References listed on IDEAS

    as
    1. Marc Chesney & Laurent Gauthier, 2006. "American Parisian options," Finance and Stochastics, Springer, vol. 10(4), pages 475-506, December.
    2. Scheffer, Carel L., 1995. "The rank of the present excursion," Stochastic Processes and their Applications, Elsevier, vol. 55(1), pages 101-118, January.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Dassios, Angelos & Zhang, Junyi, 2020. "Parisian time of reflected Brownian motion with drift on rays and its application in banking," LSE Research Online Documents on Economics 107495, London School of Economics and Political Science, LSE Library.
    2. Angelos Dassios & Junyi Zhang, 2020. "Parisian Time of Reflected Brownian Motion with Drift on Rays and Its Application in Banking," Risks, MDPI, vol. 8(4), pages 1-14, December.
    3. Dassios, Angelos & Lim, Jia Wei, 2013. "Parisian option pricing: a recursive solution for the density of the Parisian stopping time," LSE Research Online Documents on Economics 58985, London School of Economics and Political Science, LSE Library.
    4. Angelos Dassios & You You Zhang, 2016. "The joint distribution of Parisian and hitting times of Brownian motion with application to Parisian option pricing," Finance and Stochastics, Springer, vol. 20(3), pages 773-804, July.
    5. Angelos Dassios & Shanle Wu, 2010. "Perturbed Brownian motion and its application to Parisian option pricing," Finance and Stochastics, Springer, vol. 14(3), pages 473-494, September.
    6. Dassios, Angelos & Lim, Jia Wei, 2017. "An analytical solution for the two-sided Parisian stopping time, its asymptotics and the pricing of Parisian options," LSE Research Online Documents on Economics 60154, London School of Economics and Political Science, LSE Library.
    7. Yangyang Zhuang & Pan Tang, 2023. "Pricing of American Parisian option as executive option based on the least‐squares Monte Carlo approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(10), pages 1469-1496, October.
    8. Dassios, Angelos & Zhang, You You, 2016. "The joint distribution of Parisian and hitting times of the Brownian motion with application to Parisian option pricing," LSE Research Online Documents on Economics 64959, London School of Economics and Political Science, LSE Library.

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    More about this item

    Keywords

    Parisian options; Excursions; Fourier inversion; 60G40; 62L15; 60J65; G12; G13;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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