A New Procedure for Pricing Parisian Options

32 Pages Posted: 13 Feb 2012 Last revised: 12 Jan 2014

See all articles by Carole Bernard

Carole Bernard

Grenoble Ecole de Management; Vrije Universiteit Brussel (VUB)

Olivier Le Courtois

EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control

Francois Quittard-Pinon

EMLYON Business School

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

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

Carole Bernard

Grenoble Ecole de Management ( email )

12, rue Pierre Sémard
Grenoble Cedex, 38003
France

Vrije Universiteit Brussel (VUB) ( email )

Pleinlaan 2
http://www.vub.ac.be/
Brussels, 1050
Belgium

Olivier Arnaud Le Courtois (Contact Author)

EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control ( email )

23, av. Guy de Collongue
69134 Ecully Cedex
France

Francois Quittard-Pinon

EMLYON Business School ( email )

23, Avenue Guy de Collongue
69134, Ecully
France

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