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A New Procedure for Pricing Parisian Options

Carole Bernard

出版	SSRN, 2014
URL	http://books.google.com.hk/books?id=lrPIzgEACAAJ&hl=&source=gbs_api

註釋

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.