RT Journal Article
SR Electronic
T1 Pricing Parisian Options by Generating Functions
JF The Journal of Derivatives
FD Institutional Investor Journals
SP 72
OP 81
DO 10.3905/JOD.2009.16.4.072
VO 16
IS 4
A1 Bing-Qing Li
A1 Hai-Jian Zhao
YR 2009
UL https://pm-research.com/content/16/4/72.abstract
AB 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