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American Parisian options

Author

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  • Marc Chesney
  • Laurent Gauthier

Abstract

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Suggested Citation

  • Marc Chesney & Laurent Gauthier, 2006. "American Parisian options," Finance and Stochastics, Springer, vol. 10(4), pages 475-506, December.
    • Handle: RePEc:spr:finsto:v:10:y:2006:i:4:p:475-506
    DOI: 10.1007/s00780-006-0015-3
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    References listed on IDEAS

    as
    1. Ernesto Mordecki, 1999. "Optimal stopping for a diffusion with jumps," Finance and Stochastics, Springer, vol. 3(2), pages 227-236.
    2. Gao, Bin & Huang, Jing-zhi & Subrahmanyam, Marti, 2000. "The valuation of American barrier options using the decomposition technique," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1783-1827, October.
    3. 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.
    Full references (including those not matched with items on IDEAS)

    Citations

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    as


    Cited by:

    1. Hongzhong Zhang, 2018. "Stochastic Drawdowns," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 10078, September.
    2. Carole Bernard & Phelim Boyle, 2011. "Monte Carlo methods for pricing discrete Parisian options," The European Journal of Finance, Taylor & Francis Journals, vol. 17(3), pages 169-196.
    3. Song-Ping Zhu & Nhat-Tan Le & Wen-Ting Chen & Xiaoping Lu, 2015. "Pricing Parisian down-and-in options," Papers 1511.01564, arXiv.org.
    4. Marc Chesney & Pierre Lasserre & Bruno Troja, 2017. "Mitigating global warming: a real options approach," Annals of Operations Research, Springer, vol. 255(1), pages 465-506, August.
    5. Le, Nhat-Tan & Dang, Duy-Minh, 2017. "Pricing American-style Parisian down-and-out call options," Applied Mathematics and Computation, Elsevier, vol. 305(C), pages 330-347.
    6. Angelos Dassios & You You Zhang, 2016. "The joint distribution of Parisian and hitting times of Brownian motion with application to Parisian option pricing," Finance and Stochastics, Springer, vol. 20(3), pages 773-804, July.
    7. J. Anderluh & J. Weide, 2009. "Double-sided Parisian option pricing," Finance and Stochastics, Springer, vol. 13(2), pages 205-238, April.
    8. Deng, Jie & Qin, Zhongfeng, 2021. "On Parisian option pricing for uncertain currency model," Chaos, Solitons & Fractals, Elsevier, vol. 143(C).
    9. Gongqiu Zhang & Lingfei Li, 2023. "A general approach for Parisian stopping times under Markov processes," Finance and Stochastics, Springer, vol. 27(3), pages 769-829, July.
    10. Dassios, Angelos & Zhang, You You, 2016. "The joint distribution of Parisian and hitting times of the Brownian motion with application to Parisian option pricing," LSE Research Online Documents on Economics 64959, London School of Economics and Political Science, LSE Library.
    11. Gongqiu Zhang & Lingfei Li, 2021. "A General Approach for Parisian Stopping Times under Markov Processes," Papers 2107.06605, arXiv.org.
    12. Liu, Zheng & Li, Dongchen & Qian, Linyi & Yao, Jing, 2024. "On the pricing of vulnerable Parisian options," Finance Research Letters, Elsevier, vol. 68(C).

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    More about this item

    Keywords

    Parisian options; American options; Excursions; G12; G13; C61; C65; 60G40; 62L15; 60J65;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools

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