An analytical solution for Parisian up-and-in calls
Le, Tan Nhat ; Lu, Xiaoping ; Zhu, Song-Ping
ANZIAM Journal, Tome 56 (2016), / Harvested from Australian Mathematical Society
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We derive an analytical solution for the value of Parisian up-and-in calls by using the ``moving window” technique for pricing European-style Parisian up-and-out calls. Our pricing formula can be applied to both European-style and American-style Parisian up-and-in calls, due to the fact that with an ``in” barrier, the option holder cannot do or decide on anything before the option is activated, and once the option is activated it is just a plain vanilla call, which could be of American style or European style. doi:10.1017/S1446181115000267

Publié le : 2016-01-01
DOI : https://doi.org/10.21914/anziamj.v57i0.9046 
@article{9046,
     title = {An analytical solution for Parisian up-and-in calls},
     journal = {ANZIAM Journal},
     volume = {56},
     year = {2016},
     doi = {10.21914/anziamj.v57i0.9046},
     language = {EN},
     url = {http://dml.mathdoc.fr/item/9046}
}

Le, Tan Nhat; Lu, Xiaoping; Zhu, Song-Ping. An analytical solution for Parisian up-and-in calls. ANZIAM Journal, Tome 56 (2016) . doi : 10.21914/anziamj.v57i0.9046. http://gdmltest.u-ga.fr/item/9046/