AN ANALYTICAL SOLUTION FOR PARISIAN UP-AND-IN CALLS

被引：4

作者：

Le, Nhat-Tan ^{[1
]}

Lu, Xiaoping ^{[1
]}

Zhu, Song-Ping ^{[1
]}

机构：

[1] Univ Wollongong, Sch Math & Appl Stat, Wollongong, NSW 2522, Australia

来源：

ANZIAM JOURNAL | 2016年 / 57卷 / 03期

关键词：

Parisian options; moving window" technique; analytical solutions; coupled integral equations; AMERICAN OPTIONS; VALUATION;

D O I：

10.1017/S1446181115000267

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We derive an analytical solution for the value of Parisian up-and-in calls by using the "moving window" technique for pricing European-style Parisian up-and-out calls. Our pricing formula can be applied to both European-style and American-style Parisian up-and-in calls, due to the fact that with an "in" barrier, the option holder cannot do or decide on anything before the option is activated, and once the option is activated it is just a plain vanilla call, which could be of American style or European style.

引用

页码：269 / 279

页数：11

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