Search Results - subject:"parisian options"

Perturbed Brownian motion and its application to Parisian option pricing

Dassios, Angelos; Wu, Shanle - In: Finance and Stochastics 14 (2010) 3, pp. 473-494

Persistent link: https://www.econbiz.de/10008456131

PRICING DEFAULT RISK WITH PARISIAN OPTIONS: EMPIRICAL EVIDENCE FROM HIGH GROWTH COMPANIES

CLARK, EPHRAIM; BACCAR, SÉLIMA - In: Annals of Financial Economics (AFE) 05 (2009) 01, pp. 0950001-1

develop an efficient Monte Carlo method to price approximations for the Parisian options. Some numerical results and … comparative statics are also performed to demonstrate the characteristics of cumulative and consecutive Parisian options and …

Persistent link: https://www.econbiz.de/10010936594

A New Prepayment Model (with Default): An Occupation-time Derivative Approach

Sharp, Nicholas; Johnson, Paul; Newton, David; Duck, Peter - In: The Journal of Real Estate Finance and Economics 39 (2009) 2, pp. 118-145

Persistent link: https://www.econbiz.de/10005005676

Double-sided Parisian option pricing

Anderluh, J.; Weide, J. - In: Finance and Stochastics 13 (2009) 2, pp. 205-238

Persistent link: https://www.econbiz.de/10005166864

American Parisian options

Chesney, Marc; Gauthier, Laurent - In: Finance and Stochastics 10 (2006) 4, pp. 475-506

Persistent link: https://www.econbiz.de/10005613435

A Study of Mutual Insurance for Bank Deposits

Bernard, Carole; Courtois, Olivier; Quittard-Pinon, … - In: The Geneva Papers on Risk and Insurance Theory 30 (2005) 2, pp. 129-146

This article displays a study on the mutual insurance of bank deposits. A system where deposits are first insured by a consortium then by the Government is envisaged. We wish to compute the fair premia due to both the consortium and the Government. Various types of covenants aiming at making...

Persistent link: https://www.econbiz.de/10005722857