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The European Journal of Finance Volume 14, 2008 - Issue 2: RECENT ADVANCES IN MEASURING AND MANAGING MARKET RISK
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Original Articles

Pricing Parisians and barriers by hitting time simulation

J.H.M. Anderluh Delft Institute of Applied Mathematics, Delft, The NetherlandsCorrespondence[email protected]
Pages 137-156 | Published online: 20 Feb 2008

Citations (13)

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Read on this site (3)

Marc Chesney & Nikola Vasiljević. (2018) Parisian options with jumps: a maturity–excursion randomization approach. Quantitative Finance 18:11, pages 1887-1908.
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An Chen & Michael Suchanecki. (2011) Parisian exchange options. Quantitative Finance 11:8, pages 1207-1220.
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Carole Bernard & Phelim Boyle. (2011) Monte Carlo methods for pricing discrete Parisian options. The European Journal of Finance 17:3, pages 169-196.
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Articles from other publishers (10)

Yangyang Zhuang & Pan Tang. (2023) Pricing of American Parisian option as executive option based on the least‐squares Monte Carlo approach. Journal of Futures Markets.
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Chun-Yang Liu, Song-Ping Zhu & Shu-Hua Zhang. (2022) Pricing double-barrier Parisian options. IMA Journal of Management Mathematics.
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Jie Deng & Zhongfeng Qin. (2021) On Parisian option pricing for uncertain currency model. Chaos, Solitons & Fractals 143, pages 110561.
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Franck Moraux. (2019) On Bankruptcy Procedures and the Valuation of Corporate Securities. Finance Vol. 40:3, pages 141-191.
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Angelos Dassios & Jia Wei Lim. (2017) An Efficient Algorithm for Simulating the Drawdown Stopping Time and the Running Maximum of a Brownian Motion. Methodology and Computing in Applied Probability 20:1, pages 189-204.
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Angelos Dassios & Jia Wei Lim. (2017) AN ANALYTICAL SOLUTION FOR THE TWO-SIDED PARISIAN STOPPING TIME, ITS ASYMPTOTICS, AND THE PRICING OF PARISIAN OPTIONS. Mathematical Finance 27:2, pages 604-620.
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Bernd Heidergott, Haralambie Leahu & Warren M. Volk-Makarewicz. (2015) A Smoothed Perturbation Analysis of Parisian Options. IEEE Transactions on Automatic Control 60:2, pages 469-474.
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Jasper Anderluh & Ludolf Meester. (2013) Pricing Options with Non-Standard Barrier Mechanisms. The Journal of Derivatives 21:2, pages 75-88.
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Dongmei Guo, Bin Song, Shouyang Wang & Bingjie Zhang. (2013) Pricing Moving Window Parisian Option and Applications in Convertible Bonds. Procedia Computer Science 18, pages 1674-1683.
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Marc Chesney & Nikola Vasiljevic. (2017) Parisian Options with Jumps: A MaturityyExcursion Randomization Approach. SSRN Electronic Journal.
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