American Parisian Options

19 Pages Posted: 25 Jul 2006

See all articles by Marc Chesney

Marc Chesney

University of Zurich - Department of Banking and Finance

Laurent Gauthier

University of Konstanz; Toulouse Business School

Abstract

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 the 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.

Keywords: Parisian options, American options, excursions

JEL Classification: G12, G13, C61, C65

Suggested Citation

Chesney, Marc and Gauthier, Laurent, American Parisian Options. Finance and Stochastics, Forthcoming. Available at SSRN: https://ssrn.com/abstract=918485

Marc Chesney (Contact Author)

University of Zurich - Department of Banking and Finance ( email )

Rämistrasse 71
Zürich, CH-8006
Switzerland

HOME PAGE: http://https://www.bf.uzh.ch/en/persons/chesney-marc

Laurent Gauthier

University of Konstanz ( email )

Konstanz, 78457
Germany

HOME PAGE: http://https://www.gsds.uni-konstanz.de/people/visiting-professors/

Toulouse Business School ( email )

20, bd Lascrosses
Toulouse, 31068
France

HOME PAGE: http://https://www.tbs-education.fr/en/faculty-members-directory

Register to save articles to
your library

Register

Paper statistics

Downloads
214
Abstract Views
1,074
rank
141,527
PlumX Metrics