Pricing Parisian options using Laplace transforms
Résumé
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.
| Origine | Fichiers produits par l'(les) auteur(s) |
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