A New Procedure for Pricing Parisian Options
32 Pages Posted: 13 Feb 2012 Last revised: 12 Jan 2014
Date Written: April 30, 2010
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.
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