This paper provides a discrete time algorithm, in the framework of the Cox–Ross–Rubinstein analysis (1979), to evaluate both Parisian options with a flat barrier and Parisian options with an exponential boundary. The algorithm is based on a combinatorial tool for counting the number of paths of a particle performing a random walk, that remains beyond a barrier constantly for a period strictly smaller than a pre-specified time interval. As a result, a binomial evaluation model is derived that is very easy to implement and that produces highly accurate prices.
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Titolo: | A combinatorial approach for pricing Parisian options |
Autori: | |
Data di pubblicazione: | 2002 |
Rivista: | |
Handle: | http://hdl.handle.net/20.500.11770/126730 |
Appare nelle tipologie: | 1.1 Articolo in rivista |