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2014 Pricing Parisian Option under a Stochastic Volatility Model
Min-Ku Lee, Kyu-Hwan Jang
J. Appl. Math. 2014: 1-7 (2014). DOI: 10.1155/2014/956454

Abstract

We study the pricing of a Parisian option under a stochastic volatility model. Based on the manipulation problem that barrier options might create near barriers, the Parisian option has been designed as an extended barrier option. A stochastic volatility correction to the Black-Scholes price of the Parisian option is obtained in a partial differential equation form and the solution is characterized numerically.

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Min-Ku Lee. Kyu-Hwan Jang. "Pricing Parisian Option under a Stochastic Volatility Model." J. Appl. Math. 2014 1 - 7, 2014. https://doi.org/10.1155/2014/956454

Information

Published: 2014
First available in Project Euclid: 2 March 2015

zbMATH: 07132015
Digital Object Identifier: 10.1155/2014/956454

Rights: Copyright © 2014 Hindawi

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