Parisian Option Pricing: A Recursive Solution for the Density of the Parisian Stopping Time
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Finance,Numerical Analysis
Link
http://epubs.siam.org/doi/pdf/10.1137/120875466
Reference10 articles.
1. Numerical Inversion of Laplace Transforms of Probability Distributions
2. Double-sided Parisian option pricing
3. PRICING PARISIAN-STYLE OPTIONS WITH A LATTICE METHOD
4. A New Procedure for Pricing Parisian Options
5. Brownian Excursions and Parisian Barrier Options
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