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Pricing Parisian Options
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Pricing Parisian Options (1997)Pricing Parisian OptionsIntroduction to Stochastic Calculus Applied to Finance (2011)Introduction to Stochastic Ca…Brownian Excursions and Parisian Barrier Options (1997)Brownian Excursions and Paris…Option pricing: Mathematical models and computation (1994)Option pricing: Mathematical …Liquidation risk in the presence of Chapters 7 and 11 of the US bankruptcy code (2014)Liquidation risk in the prese…Pricing Parisian and Parasian options analytically (2012)Pricing Parisian and Parasian…Pricing of Parisian Options for a Jump-Diffusion Model with Two-Sided Jumps (2012)Pricing of Parisian Options f…Double-Barrier Parisian Options (2011)Double-Barrier Parisian Optio…PRICING DOUBLE BARRIER PARISIAN OPTIONS USING LAPLACE TRANSFORMS (2009)PRICING DOUBLE BARRIER PARISI…Pension Regulation and the Market Value of Pension Liabilities - A Contingent Claims Analysis Using Parisian Options (2009)Pension Regulation and the Ma…A New Prepayment Model (with Default): An Occupation-time Derivative Approach (2008)A New Prepayment Model (with …Extending quadrature methods to value multi-asset and complex path dependent options (2006)Extending quadrature methods …Default risk, bankruptcy procedures and the market value of life insurance liabilities (2006)Default risk, bankruptcy proc…American Parisian options (2006)American Parisian optionsLiquidation Triggers and the Valuation of Equity and Debt (2005)Liquidation Triggers and the …A New Procedure for Pricing Parisian Options (2005)A New Procedure for Pricing P…A combinatorial approach for pricing Parisian options (2002)A combinatorial approach for …Pricing Algorithms for Options with Exotic Path-Dependence (2001)Pricing Algorithms for Option…On the Approximation of Optimal Stopping Problems with Application to Financial Mathematics (2001)On the Approximation of Optim…Credit Risk Modelling and Credit Derivatives (2000)Credit Risk Modelling and Cre…The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Creditor Coordination, Liquidation Timing, and Debt Valuation (2011)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Monte Carlo Methods in Financial Engineering (2003)Advancing the universality of quadrature methods to any underlying process for option pricing (2014)Early Exercise Decision in American Options with Dividends, Stochastic Volatility, and Jumps (2018)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)Brownian Motion and Stochastic Calculus (2007)Option pricing: A simplified approach (1979)Multinomial Approximating Models for Options with k State Variables (1991)Corporate Debt Value, Bond Covenants, and Optimal Capital Structure (1994)Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios (2019)Efficient Procedures for Valuing European and American Path-Dependent Options (1993)Advances in Futures and Options Research (1994)Anatomy of option features in convertible bonds (2004)Continuous Martingales and Brownian Motion (1999)“Options, Futures, and Other Derivatives” (2016)The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures (1999)Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004)Fluctuations of Lévy Processes with Applications (2014)Far Field Boundary Conditions for Black--Scholes Equations (2000)PDE methods for pricing barrier options (2000)A Real Options Approach to the Valuation of a Forestry Investment (2002)
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References

  • 1994Option pricing: Mathematical models and computation805 cited
  • 2011Introduction to Stochastic Calculus Applied to Finance639 cited
  • 1997Brownian Excursions and Parisian Barrier Options255 cited

Cited by

  • 2006Default risk, bankruptcy procedures and the market value of life insurance liabilities56 cited
  • 2006Extending quadrature methods to value multi-asset and complex path dependent options51 cited
  • 2005A New Procedure for Pricing Parisian Options47 cited
  • 2001Pricing Algorithms for Options with Exotic Path-Dependence43 cited
  • 2009Pension Regulation and the Market Value of Pension Liabilities - A Contingent Claims Analysis Using Parisian Options32 cited
  • 2002A combinatorial approach for pricing Parisian options32 cited
  • 2005Liquidation Triggers and the Valuation of Equity and Debt30 cited
  • 2009PRICING DOUBLE BARRIER PARISIAN OPTIONS USING LAPLACE TRANSFORMS28 cited
  • 2001On the Approximation of Optimal Stopping Problems with Application to Financial Mathematics28 cited
  • 2000Credit Risk Modelling and Credit Derivatives27 cited
  • 2012Pricing Parisian and Parasian options analytically27 cited
  • 2006American Parisian options

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27 cited
  • 2012Pricing of Parisian Options for a Jump-Diffusion Model with Two-Sided Jumps25 cited
  • 2008A New Prepayment Model (with Default): An Occupation-time Derivative Approach24 cited
  • 2011Double-Barrier Parisian Options24 cited
  • 2014Liquidation risk in the presence of Chapters 7 and 11 of the US bankruptcy code21 cited