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Type | Journal Article |
Scope | Discipline-based scholarship |
Title | American Parisian Options |
Organization Unit | |
Authors |
|
Item Subtype | Original Work |
Refereed | Yes |
Status | Published in final form |
Language |
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Journal Title | Finance and Stochastics |
Publisher | Springer |
Geographical Reach | international |
ISSN | 0949-2984 |
Volume | 10 |
Number | 4 |
Page Range | 475 - 506 |
Date | 2006 |
Abstract Text | In this article, we describe the various sorts of American Parisian options and propose valuation formulae. Although there is no closed-form valuation for these products in the non-perpetual case, we have been able to reformulate their price as a function of the exercise frontier. In the perpetual case, closed-form solutions or approximations are obtained by relying on excursion theory. We derive the Laplace transform of the first instant Brownian motion reaches a positive level or, without interruption, spends a given amount of time below zero. We perform a detailed comparison of perpetual standard, barrier and Parisian options |
Digital Object Identifier | 10.1007/s00780-006-0015-3 |
Other Identification Number | merlin-id:3463 |
PDF File | Download from ZORA |
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