American Parisian options
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Finance,Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s00780-006-0015-3.pdf
Reference22 articles.
1. Avellaneda M., Wu L. (1999) Pricing Parisian-style options with a lattice method. IJTAF 2, 1–16
2. Ben Ameur, H., L’Ecuyer, P., Lemieux, C. Variance reduction of Monte Carlo and randomized quasi Monte Carlo estimators for stochastic volatility models in finance. In: Proceedings of the 1999 Winter Simulation Conference, pp. 336–343. IEEE Press (1999)
3. Bernard C., Le Courtois O., Quittard Pinon F. (2005) A new procedure for pricing Parisian options. J. Deriv. 12, 45–54
4. Borodin, A., Salminen, P. Handbook of Brownian Motion—Facts and Formulae. Birkhäuser (1996)
5. Chesney M., Jeanblanc M., Yor M. (1997) Brownian excursions and Parisian barrier options. Adv. Appl. Probab. 29, 165–184
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