A combinatorial approach for pricing Parisian options
Decisions in Economics and Finance, ISSN: 1129-6569, Vol: 25, Issue: 2, Page: 111-125
2002
- 22Citations
- 24Captures
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Article Description
This paper provides a discrete time algorithm, in the framework of the Cox-Ross-Rubinstein analysis (1979), to evaluate both Parisian options with a flat barrier and Parisian options with an exponential boundary. The algorithm is based on a combinatorial tool for counting the number of paths of a particle performing a random walk, that remains beyond a barrier constantly for a period strictly smaller than a pre-specified time interval. As a result, a binomial evaluation model is derived that is very easy to implement and that produces highly accurate prices. © Springer-Verlag 2002.
Bibliographic Details
http://www.scopus.com/inward/record.url?partnerID=HzOxMe3b&scp=33751160995&origin=inward; http://dx.doi.org/10.1007/s102030200007; http://link.springer.com/10.1007/s102030200007; http://link.springer.com/content/pdf/10.1007/s102030200007; http://link.springer.com/content/pdf/10.1007/s102030200007.pdf; http://link.springer.com/article/10.1007/s102030200007/fulltext.html; https://dx.doi.org/10.1007/s102030200007; https://link.springer.com/article/10.1007/s102030200007; http://www.springerlink.com/index/10.1007/s102030200007; http://www.springerlink.com/index/pdf/10.1007/s102030200007
Springer Science and Business Media LLC
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