TY - JOUR T1 - Pricing Parisian Options by Generating Functions JF - The Journal of Derivatives SP - 72 LP - 81 DO - 10.3905/JOD.2009.16.4.072 VL - 16 IS - 4 AU - Bing-Qing Li AU - Hai-Jian Zhao Y1 - 2009/05/31 UR - https://pm-research.com/content/16/4/72.abstract N2 - 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 ER -