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Pricing of Parisian Options for a Jump-Diffusion Model with Two-Sided Jumps


  • Hansjörg Albrecher
  • Dominik Kortschak
  • Xiaowen Zhou


Using 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.

Suggested Citation

  • Hansjörg Albrecher & Dominik Kortschak & Xiaowen Zhou, 2012. "Pricing of Parisian Options for a Jump-Diffusion Model with Two-Sided Jumps," Applied Mathematical Finance, Taylor & Francis Journals, vol. 19(2), pages 97-129, July.
  • Handle: RePEc:taf:apmtfi:v:19:y:2012:i:2:p:97-129
    DOI: 10.1080/1350486X.2011.599976

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