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14

FS
2006

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American Parisian options

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American Parisian options

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Using the solution of the one-sided exit problem, a procedure to price Parisian barrier options in a jump-diffusion model with two-sided exponential jumps is developed. By extending a method developed in Chesney, Jeanbanc and Yor (1997) for the diffusion case to this more general setup, we arrive at a numerical pricing algorithm that significantly outperforms Monte Carlo simulation for the prices of such products.

Marc Chesney, Laurent Gauthier

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FS 2006 | One-sided Exit Problem | Parisian Barrier Options | Two-sided Exponential Jumps |

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Added	12 Dec 2010
Updated	12 Dec 2010
Type	Journal
Year	2006
Where	FS
Authors	Marc Chesney, Laurent Gauthier

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