Download This PaperA New Procedure for Pricing Parisian Options
32 Pages Posted: 13 Feb 2012 Last revised: 12 Jan 2014
Date Written: April 30, 2010
Abstract
In this article, we propose a new method to price numerically Parisian options by inversion of Laplace transform. We compare this method to other more traditional approaches (Monte-Carlo simulations and partial differential equation solving). We show that this method converges more rapidly and yields quasi-instantaneous answers to the valuation and hedging problem at stake.
Note: Downloadable document is in French.
Suggested Citation: Suggested Citation
Bernard, Carole and Le Courtois, Olivier Arnaud and Quittard-Pinon, Francois, A New Procedure for Pricing Parisian Options (April 30, 2010). Journal of Derivatives, Vol. 12, No. 4, 2005, Available at SSRN: https://ssrn.com/abstract=438841 or http://dx.doi.org/10.2139/ssrn.438841
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