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Abstract
We provide new and discrete time combinatorial approaches to evaluate Parisian options. By using generating functions, a very useful tool in lattice path enumeration, the computation of consecutive and cumulative Parisian options is significantly simplified. This leads to combinatorial algorithms that reduce the computational complexity and produce highly accurate prices.
TOPICS: Options, statistical methods
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Don’t have access? Click here to request a demo
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600