Pricing American-style Parisian down-and-out call options

Abstract

We propose an integral equation approach for pricing American-style Parisian down-andout call options under the Black–Scholes framework. For this type of options, the knockout feature is activated only if the underlying asset price continuously remains below a pre-determined barrier for a sufficiently long period of time. As such, the corresponding pricing… (More)
DOI: 10.1016/j.amc.2017.02.015

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Cite this paper

@article{Le2017PricingAP, title={Pricing American-style Parisian down-and-out call options}, author={Nhat-Tan Le and Duy-Minh Dang}, journal={Applied Mathematics and Computation}, year={2017}, volume={305}, pages={330-347} }