Parisian Option Pricing: A Recursive Solution for the...

SIAM Journal on Financial Mathematics 2013 / 01 Vol. 4; Iss. 1

Parisian Option Pricing: A Recursive Solution for the Density of the Parisian Stopping Time

Dassios, Angelos, Lim, Jia Wei
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Volume:
4
Language:
english
Journal:
SIAM Journal on Financial Mathematics
DOI:
10.1137/120875466
Date:
January, 2013
File:
PDF, 279 KB
english, 2013
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