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An improved combinatorial approach for pricing Parisian options

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  • Yuh-Dauh Lyuu
  • Cheng-Wei Wu

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  • Yuh-Dauh Lyuu & Cheng-Wei Wu, 2010. "An improved combinatorial approach for pricing Parisian options," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 33(1), pages 49-61, May.
    • Handle: RePEc:spr:decfin:v:33:y:2010:i:1:p:49-61
    DOI: 10.1007/s10203-009-0099-2
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    References listed on IDEAS

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    1. Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
    2. Marco Avellaneda & Lixin Wu, 1999. "Pricing Parisian-Style Options With A Lattice Method," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 2(01), pages 1-16.
    3. Lyuu,Yuh-Dauh, 2002. "Financial Engineering and Computation," Cambridge Books, Cambridge University Press, number 9780521781718.
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    Cited by:

    1. Marcellino Gaudenzi & Antonino Zanette, 2017. "Fast binomial procedures for pricing Parisian/ParAsian options," Computational Management Science, Springer, vol. 14(3), pages 313-331, July.

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    More about this item

    Keywords

    Parisian option; Option pricing; Binomial tree model; Combinatorial method; C63;
    All these keywords.

    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

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