Parisian Options with Jumps: A MaturityyExcursion Randomization Approach

2017 ◽  
Author(s):  
Marc Chesney ◽  
Nikola Vasiljevic
Keyword(s):  
Parisian Options

Pricing Parisian Options by Generating Functions

2009 ◽  
Vol 16 (4) ◽  
pp. 72-81 ◽  
Author(s):  
Bing-Qing Li ◽  
Hai-Jian Zhao
Keyword(s):  
Generating Functions ◽  
Parisian Options

A New Procedure for Pricing Parisian Options

2005 ◽  
Vol 12 (4) ◽  
pp. 45-53 ◽  
Author(s):  
Carole Bernard ◽  
Olivier Le Courtois ◽  
François Quittard-Pinon
Keyword(s):  
Parisian Options

scholarly journals Double-Barrier Parisian Options

2011 ◽  
Vol 48 (1) ◽  
pp. 1-20 ◽  
Author(s):  
Angelos Dassios ◽  
Shanle Wu
Keyword(s):  
Brownian Motion ◽  
Markov Model ◽  
Laplace Transform ◽  
Mathematical Finance ◽  
Important Application ◽  
Double Barrier ◽  
Parisian Options ◽  
Brownian Motion With Drift ◽  
The Laplace Transform ◽  
Excursion Time

In this paper we study the excursion time of a Brownian motion with drift outside a corridor by using a four-state semi-Markov model. In mathematical finance, these results have an important application in the valuation of double-barrier Parisian options. We subsequently obtain an explicit expression for the Laplace transform of its price.

A New Procedure for Pricing Parisian Options

2010 ◽  
Author(s):  
Olivier Arnaud Le Courtois ◽  
Carole Bernard ◽  
Francois Quittard-Pinon
Keyword(s):  
Parisian Options

Parisian options with jumps: a maturity–excursion randomization approach

2018 ◽  
Vol 18 (11) ◽  
pp. 1887-1908 ◽  
Author(s):  
Marc Chesney ◽  
Nikola Vasiljević
Keyword(s):  
Parisian Options

scholarly journals PRICING DOUBLE BARRIER PARISIAN OPTIONS USING LAPLACE TRANSFORMS

2009 ◽  
Vol 12 (01) ◽  
pp. 19-44 ◽  
Author(s):  
CÉLINE LABART ◽  
JÉRÔME LELONG
Keyword(s):  
Laplace Transforms ◽  
Numerical Inversion ◽  
Option Prices ◽  
Double Barrier ◽  
Parisian Options

In this article, we study a double barrier version of the standard Parisian options. We give closed formulas for the Laplace transforms of their prices with respect to the maturity time. We explain how to invert them numerically and prove a result on the accuracy of the numerical inversion when the function to be recovered is sufficiently smooth. Henceforth, we study the regularity of the Parisian option prices with respect to maturity time and prove that except for particular values of the barriers, the prices are of class [Formula: see text] (see Theorem 5.1). This study heavily relies on the existence of a density for the Parisian times, so we have deeply investigated the existence and the regularity of the density for the Parisian times (see Theorem 5.3).

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