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ArticleAmerican Parisian options

Marc Chesney2006

OA

Articlebronze2006

American Parisian options

27 citations·0/0 files stored·Finance and Stochastics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Probability and Risk Models

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References

1999Continuous Martingales and Brownian Motion 1996Handbook of Brownian Motion — Facts and Formulae 1983Foreign currency option values 1997Brownian Excursions and Parisian Barrier Options 1998A parity result for American options 2000The valuation of American barrier options using the decomposition technique 1997Pricing Parisian Options 1999Pricing Parisan Options

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2012Pricing of Parisian Options for a Jump-Diffusion Model with Two-Sided Jumps

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2009PRICING DOUBLE BARRIER PARISIAN OPTIONS USING LAPLACE TRANSFORMSarticle · 6 shared references 2006Default risk, bankruptcy procedures and the market value of life insurance liabilitiesarticle · 5 shared references 2009Pension Regulation and the Market Value of Pension Liabilities - A Contingent Claims Analysis Using Parisian Optionsarticle · 5 shared references 2012Pricing of Parisian Options for a Jump-Diffusion Model with Two-Sided Jumpsarticle · 5 shared references 2005A New Procedure for Pricing Parisian Optionsarticle · 4 shared references 2001Pricing Algorithms for Options with Exotic Path-Dependencearticle · 4 shared references

Details

Year2006

Typearticle

Published2006-08-10

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations27

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00780-006-0015-3

openalex_workW2117864936

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