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