Pricing Parisian Option under a Stochastic Volatility Model

Min-Ku Lee and Kyu-Hwan Jang

Journal of Applied Mathematics, 2014, vol. 2014, 1-7

Abstract:

We study the pricing of a Parisian option under a stochastic volatility model. Based on the manipulation problem that barrier options might create near barriers, the Parisian option has been designed as an extended barrier option. A stochastic volatility correction to the Black-Scholes price of the Parisian option is obtained in a partial differential equation form and the solution is characterized numerically.

Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnljam:956454

DOI: 10.1155/2014/956454

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