Pricing Parisian Option under a Stochastic Volatility Model

الملخص EN

We study the pricing of a Parisian option under a stochastic volatility model.

Based on the manipulation problem that barrier options might create near barriers, the Parisian option has been designed as an extended barrier option.

A stochastic volatility correction to the Black-Scholes price of the Parisian option is obtained in a partial differential equation form and the solution is characterized numerically.