Pricing Parisian Option under a Stochastic Volatility Model
Joint Authors
Source
Journal of Applied Mathematics
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-7, 7 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-11-19
Country of Publication
Egypt
No. of Pages
7
Main Subjects
Abstract 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.
American Psychological Association (APA)
Lee, Min-Ku& Jang, Kyu-Hwan. 2014. Pricing Parisian Option under a Stochastic Volatility Model. Journal of Applied Mathematics،Vol. 2014, no. 2014, pp.1-7.
https://search.emarefa.net/detail/BIM-1039808
Modern Language Association (MLA)
Lee, Min-Ku& Jang, Kyu-Hwan. Pricing Parisian Option under a Stochastic Volatility Model. Journal of Applied Mathematics No. 2014 (2014), pp.1-7.
https://search.emarefa.net/detail/BIM-1039808
American Medical Association (AMA)
Lee, Min-Ku& Jang, Kyu-Hwan. Pricing Parisian Option under a Stochastic Volatility Model. Journal of Applied Mathematics. 2014. Vol. 2014, no. 2014, pp.1-7.
https://search.emarefa.net/detail/BIM-1039808
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1039808
