A New Procedure for Pricing Parisian Options

In this article, we propose a new method to price numerically Parisian options by inversion of Laplace transform. We compare this method to other more traditional approaches (Monte-Carlo simulations and partial differential equation solving). We show that this method converges more rapidly and yields quasi-instantaneous answers to the valuation and hedging problem at stake

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Year of publication:	[2014]
Authors:	Bernard, Carole
Other Persons:	Le Courtois, Olivier (contributor) ; Quittard-Pinon, Francois (contributor)
Publisher:	[2014]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (32 p)
Type of publication:	Book / Working Paper
Notes:	In: Journal of Derivatives, Vol. 12, No. 4, 2005 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 30, 2010 erstellt
Other identifiers:	10.2139/ssrn.438841 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012710241