Pricing Parisian options using Laplace transforms

In this work, we propose to price Parisian options using Laplace transforms. Not only do we compute the Laplace transforms of all the different Parisian options, but we also explain how to invert them numerically. We prove the accuracy of the numerical inversion.

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Year of publication:	2009-04-27
Authors:	Labart, Céline ; Lelong, Jérôme
Institutions:	HAL

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Extent:	application/pdf
Series:	Post-Print.
Type of publication:	Book / Working Paper
Notes:	View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00776703 Published, Bankers Markets & Investors, 2009, 99, 24 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010820661