论文信息 - Pricing Parisian Option under a Stochastic Volatility Model

Pricing Parisian Option under a Stochastic Volatility Model

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.

Min-Ku Lee | Kyu-Hwan Jang | Min-Ku Lee | Kyu-Hwan Jang

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