Zhu, Song-Ping; Chen, Wen-Ting - In: Journal of Economic Dynamics and Control 37 (2013) 4, pp. 875-896
In this paper, two analytic solutions for the valuation of European-style Parisian and Parasian options under the Black …, written in terms of double integral for the case of Parisian options but multiple integrals for the case of Parasian options …