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Pricing Parisian and ParAsian Options by a Vectorized Binomial or Trinomial Tree

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  • James X. Wu
  • Tao Wu

Abstract

We extend binomial and trinomial trees to price European and American style Parisian and ParAsian options by keeping track of a vector of option prices under different scenarios at each tree node. We also incorporate the method for choosing the number of time‐steps that will yield more precise price estimates. The vectorized tree models can easily price exotic path‐dependent options such as American double barrier Parisian options and look‐back options, which present challenges to other existing methods.

Suggested Citation

  • James X. Wu & Tao Wu, 2026. "Pricing Parisian and ParAsian Options by a Vectorized Binomial or Trinomial Tree," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 46(8), pages 1380-1389, August.
    • Handle: RePEc:wly:jfutmk:v:46:y:2026:i:8:p:1380-1389
    DOI: 10.1002/fut.70110
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