Pricing Double Barrier Parisian Option Using Finite Difference

Double-sided Parisian option pricing

In this paper we derive Fourier transforms for double sided Parisian option contracts. The double sided Parisian option contract is triggered by the stock price process spending some time above an upper level or below some lower level. The double sided Parisian knock-in call contract is the general type of Parisian contract from which all the one-sided contract types follow. We also discuss the...

Pricing double barrier Parisian options using Laplace transforms

In this article, we study a double barrier version of the standard Parisian options. We give closed formulas for the Laplace transforms of their prices with respect to the maturity time. We explain how to invert them numerically and prove a result on the accuracy of the numerical inversion when the function to be recovered is sufficiently smooth. Henceforth, we study the regularity of the Paris...

Double-barrier Parisian Options

In this paper we study the excursion time of a Brownian motion with drift outside a corridor by using a four-state semi-Markov model. In mathematical finance, these results have an important application in the valuation of double-barrier Parisian options. We subsequently obtain an explicit expression for the Laplace transform of its price.

Accurate Finite Difference Methods for Option Pricing

Barrier Option Pricing

This thesis examines the performance of five option pricing models with respect to the pricing of barrier options. The models include the Black-Scholes model and four stochastic volatility models ranging from the single-factor stochastic volatility model first proposed by Heston (1993) to a multi-factor stochastic volatility model with jumps in the spot price process. The stochastic volatility ...