Pricing of Parisian Options for a Jump-Diffusion Model with Two-Sided Jumps

Using the solution of one-sided exit problem, a procedure to price Parisian barrier options in a jump-diffusion model with two-sided exponential jumps is developed. By extending the method developed in Chesney, Jeanblanc-Picqué and Yor (1997; Brownian excursions and Parisian barrier options, <italic>Advances in Applied Probability</italic>, 29(1), pp. 165--184) for the diffusion case to the more general set-up, we arrive at a numerical pricing algorithm that significantly outperforms Monte Carlo simulation for the prices of such products.