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A combinatorial approach for pricing Parisian options
8 references·3 citing·35 second hop
A combinatorial approach for pricing Parisian options (2002)A combinatorial approach for pricing Pari…PRICING PARISIAN-STYLE OPTIONS WITH A LATTICE METHOD (1999)PRICING PARISIAN-STYLE OPTION…Very Fast Algorithms for Barrier Option Pricing and the Ballot Problem (1998)Very Fast Algorithms for Barr…Pricing Parisian Options (1997)Pricing Parisian OptionsBrownian Excursions and Parisian Barrier Options (1997)Brownian Excursions and Paris…Complex Barrier Options (1996)Complex Barrier OptionsAdvances in Futures and Options Research (1996)Advances in Futures and Optio…Multinomial Approximating Models for Options with k State Variables (1991)Multinomial Approximating Mod…Option pricing: A simplified approach (1979)Option pricing: A simplified …Monte Carlo methods for pricing discrete Parisian options (2010)Monte Carlo methods for prici…PRICING DOUBLE BARRIER PARISIAN OPTIONS USING LAPLACE TRANSFORMS (2009)PRICING DOUBLE BARRIER PARISI…American Parisian options (2006)American Parisian optionsContinuous Martingales and Brownian Motion (1999)An Introduction to Numerical Transform Inversion and Its Application to Probability Models (2000)Double-sided Parisian option pricing (2009)Pricing of Parisian Options for a Jump-Diffusion Model with Two-Sided Jumps (2012)Pricing Parisian and Parasian options analytically (2012)The Pricing of Options and Corporate Liabilities (1973)The valuation of options for alternative stochastic processes (1976)Pricing Options under Generalized GARCH and Stochastic Volatility Processes (1999)Option to acquire or divest a joint venture (2000)Resource relatedness, redeployability, and firm value (2013)The pricing of call and put options on foreign exchange (1983)BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES (1993)PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH (1996)ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications (2004)Option Pricing: Valuation Models and Applications (2004)Foreign currency option values (1983)Handbook of Brownian Motion — Facts and Formulae (1996)Theory of Rational Option Pricing (1973)Martingales and stochastic integrals in the theory of continuous trading (1981)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)Theory of rational option pricing (2005)Option pricing: Mathematical models and computation (1994)Extending quadrature methods to value multi-asset and complex path dependent options (2006)Introduction to Stochastic Calculus Applied to Finance (2011)CONVERGENCE OF BARRIER OPTION PRICES IN THE BINOMIAL MODEL (2012)A flexible binomial option pricing model (1999)The valuation of American barrier options using the decomposition technique (2000)A Double-Exponential Fast Gauss Transform Algorithm for Pricing Discrete Path-Dependent Options (2005)A New Procedure for Pricing Parisian Options (2005)Default risk, bankruptcy procedures and the market value of life insurance liabilities (2006)Arbitrage pricing of defaultable game options with applications to convertible bonds (2008)New Evidence on Agricultural Commodity Return Performance under Time‐Varying Risk (1997)Estimating volatility and dividend yield when valuing real options to invest or abandon (1998)Hedging index exchange traded funds (2007)
this work references cited by second hop

References

  • 1979Option pricing: A simplified approach6,103 cited
  • 1991Multinomial Approximating Models for Options with k State Variables283 cited
  • 1997Brownian Excursions and Parisian Barrier Options255 cited
  • 1996Complex Barrier Options116 cited
  • 1996Advances in Futures and Options Research107 cited
  • 1997Pricing Parisian Options72 cited
  • 1999PRICING PARISIAN-STYLE OPTIONS WITH A LATTICE METHOD64 cited
  • 1998Very Fast Algorithms for Barrier Option Pricing and the Ballot Problem33 cited

Cited by

  • 2009PRICING DOUBLE BARRIER PARISIAN OPTIONS USING LAPLACE TRANSFORMS28 cited
  • 2006American Parisian options27 cited
  • 2010Monte Carlo methods for pricing discrete Parisian options20 cited

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