Pricing Parisian options using Laplace transforms

Céline Labart () and Jérôme Lelong ()
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Céline Labart: MATHFI - Financial mathematics - Inria Paris-Rocquencourt - Inria - Institut National de Recherche en Informatique et en Automatique - ENPC - École nationale des ponts et chaussées - UPEC UP12 - Université Paris-Est Créteil Val-de-Marne - Paris 12, CMAP - Centre de Mathématiques Appliquées de l'Ecole polytechnique - Inria - Institut National de Recherche en Informatique et en Automatique - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique
Jérôme Lelong: MATHFI - Financial mathematics - Inria Paris-Rocquencourt - Inria - Institut National de Recherche en Informatique et en Automatique - ENPC - École nationale des ponts et chaussées - UPEC UP12 - Université Paris-Est Créteil Val-de-Marne - Paris 12, CERMICS - Centre d'Enseignement et de Recherche en Mathématiques et Calcul Scientifique - ENPC - École nationale des ponts et chaussées

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Abstract: 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.

Date: 2009-04-27
Note: View the original document on HAL open archive server: https://hal.science/hal-00776703v1
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Citations: View citations in EconPapers (6)

Published in Bankers Markets & Investors : an academic & professional review, 2009, 99, 24 p

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00776703

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