Pricing Parisian Options Using Laplace Transforms
نویسنده
چکیده
In this work, we propose to price Parisian options using Laplace transforms. Not only do we compute the Laplace transforms of all the different Parisian options, but we also explain how to invert them numerically. We prove the accuracy of the numerical inversion.
منابع مشابه
Pricing Parisian Options
In this work, we propose to price Parisian options using Laplace transforms. Not only, do we compute the Laplace transforms of all the different Parisian options, but we also explain how to invert them numerically. We discuss the accuracy of the numerical inversion and present the evolution of the Greeks through a few graphs.
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