A General Approach for Parisian Stopping Times under Markov Processes

  title={A General Approach for Parisian Stopping Times under Markov Processes},
  author={Gongqiu Zhang and Lingfei Li},
  journal={Risk Management \& Analysis in Financial Institutions eJournal},
  • Gongqiu Zhang, Lingfei Li
  • Published 2019
  • Economics, Mathematics
  • Risk Management & Analysis in Financial Institutions eJournal
This paper proposed a method based on CTMC approximation to compute the distribution of Parisian stopping times and prices of Parisian options under general jump-diffusion models. Convergence of the proposed approach is proved under general setting and sharp convergence rates are obtained for general diffusion models. We show that first order convergence holds in general, while if the Parisian barrier is exactly on the grid and all the discontinuities in payoff functions are in the midway… Expand
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