Parisian options with jumps: a maturity–excursion randomization approach
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DOI: 10.1080/14697688.2018.1444785
Abstract: This paper introduces an analytically tractable method for the pricing of European and American Parisian options in a flexible jump–diffusion model. Our contribution is threefold. First, using a double Laplace–Carson transform with respect to the… read more here.
Keywords: options jumps; excursion; jumps maturity; parisian options ... See more keywords