Pricing Double Barrier Parisian Options with a Lattice Method

摘要：

In this article, we provide simple and efficient combinatorial approach to evaluate discrete double barrier Parisian options based on the lattice model. By using some combinatorial tool, the algorithm is significantly simplified, which computational complexity is O(n2). Experimental results show that this approach produces highly accurate prices and small oscillations.

关键词： Double barrier Parisian options Lattice Combinatorics

作者: Haijian Zhao Jingfeng Xu Jian Liu

作者单位: Center for Combinatorics Nankai University Tianjin, China China Institute for Actuarial Science Central University of Finance and Economics Beijing, China

会议类型: 国际会议

会议名称: 2011 International Conference on Economics, Business and Marketing Management(EBMM 2011)(2011年经济、商业和营销管理国际会议)

会议地点: 上海

会议语种:英文

页码: 563-567

在线出版日期: 2011-03-11（万方平台首次上网日期，不代表论文的发表时间）