A combinatorial approach for pricing Parisian options

Decisions in Economics and Finance

Volumn 25, Issue 2, 2002, Pages 111-125

  Costabile, Massimo ^a  

^a UNIVERSITY OF CALABRIA   (Italy)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33751160995     PISSN: 15938883     EISSN: 11296569     Source Type: Journal    
DOI: 10.1007/s102030200007     Document Type: Article

References (12)

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3. Cheuk, T., Vorst, T. (1996): Complex barrier options. The Journal of Derivatives 4(1), 8-22
4. Chesney, M., Jeanblanc-Picqué, M., Yor, M. (1997): Brownian excursion and Parisian barrier options. Advances in Applied Probability 29, 165-184
5. Costabile, M. (2000): Extending the Cox-Ross-Rubinstein algorithm for pricing options with an exponential boundary. Mimeo
6. Cox, J.C., Ross, S.A., Rubinstein, M. (1979): Option pricing: a simplified approach. Journal of Financial Economics 7, 229-263
7. Feller, W. (1968): An introduction to probability theory and its applications. Vol. I. Third edition. Wiley, NY
8. Haber, R. J., Schonbucher, P. J., Wilmott, P. (1999): Pricing Parisian options. The Journal of Derivatives 6(3), 71-79
9. Kamrad, B., Ritchken, P. (1991): Multinomial approximating models for options with k state variables. Management Science 37, 1640-1652
10. Lyuu, Y.-D. (1998): Very fast algorithms for barrier options pricing and the ballot problem. The Journal of Derivatives 5(3), 68-79
11. Rubinstein, M., Reiner, E. (1991): Breaking down the barriers. Risk 4(8), 31-35
12. Vetzal, K.R., Forsyth, P.A. (1999): Discrete Parisian and delayed barrier options: a general numerical approach. In: Boyle, P. et al. (eds.), Advances in futures and options research. JAI Press, Stamford, CT, pp. 1-15