Advanced Guidance to Excelling in the FX Market Once you have a textbook understanding
of money market and foreign exchange products, turn to FX Options and Structured …

The topic of insolvency risk in connection with life insurance companies has recently
attracted a great deal of attention. In this paper, the question is investigated of how the …

We propose a method based on continuous-time Markov chain (CTMC) approximation to
compute the distribution of Parisian stopping times and to price options of Parisian style …

In this paper, two analytic solutions for the valuation of European-style Parisian and
Parasian options under the Black–Scholes framework are, respectively, presented. A key …

We analyze the market-consistent valuation of pension liabilities in a contingent claim
framework whereby a knock-out barrier feature is applied to capture early regulatory closure …

In this article, we study a double barrier version of the standard Parisian options. We give
closed formulas for the Laplace transforms of their prices with respect to the maturity time …

The option to exchange one asset for another is one of the oldest and one of the most
popular exotic options. In the present article, we extend the existing literature on options to …

In this article, we describe the various sorts of American Parisian options and propose
valuation formulae. Although there is no closed-form valuation for these products in the non …

The paper develops an efficient Monte Carlo method to price discretely monitored Parisian
options based on a control variate approach. The paper also modifies the Parisian option …

In this paper we derive Fourier transforms for double-sided Parisian option contracts. The
double-sided Parisian option contract is triggered by the stock price process spending some …