Pricing Parisian Option under a Stochastic Volatility Model

Min-Ku Lee and Kyu-Hwan Jang

Journal of Applied Mathematics, 2014, vol. 2014, issue 1

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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https://doi.org/10.1155/2014/956454

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Persistent link: https://EconPapers.repec.org/RePEc:wly:jnljam:v:2014:y:2014:i:1:n:956454

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