Risk Analysis and Hedging of Parisian Options under a Jump-Diffusion Model-Reference-Cited by-同舟云学术

Risk Analysis and Hedging of Parisian Options under a Jump-Diffusion Model

Published:2015-10-13 Issue:9 Volume:36 Page:819-850
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:

Author:

Kim Kyoung-Kuk¹,Lim Dong-Young²

Affiliation:

1. Kyoung-Kuk Kim is at the Department of Industrial and Systems Engineering; Korea Advanced Institute of Science and Technology (KAIST); Daejeon 305-701 South Korea

2. Dong-Young Lim is at the Department of Industrial and Systems Engineering; Korea Advanced Institute of Science and Technology (KAIST); Daejeon 305-701 South Korea

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Reference29 articles.

1. Pricing of Parisian options for a jump-diffusion model with two-sided jumps;Albrecher;Applied Mathematical Finance,2012

2. Double-sided Parisian option pricing;Anderluh;Finance and Stochastics,2009

3. Pricing Parisian-style options with a lattice method;Avellaneda;International Journal of Theoretical and Applied Finance,1999

4. Bank for International Settlements 2015

5. A new procedure for pricing Parisian options;Bernard;The Journal of Derivatives,2005

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