An improved combinatorial approach for pricing Parisian options

Yuh-Dauh Lyuu () and Cheng-Wei Wu ()

Decisions in Economics and Finance, 2010, vol. 33, issue 1, 49-61

Keywords: Parisian option; Option pricing; Binomial tree model; Combinatorial method; C63 (search for similar items in EconPapers)
Date: 2010
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DOI: 10.1007/s10203-009-0099-2

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