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An analytical solution for Parisian up-and-in calls

Journal Article


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Abstract


  • We derive an analytical solution for the value of Parisian up-and-in calls by using the “moving window” technique for pricing European-style Parisian up-and-out calls. Our pricing formula can be applied to both European-style and American-style Parisian up-and-in calls, due to the fact that with an “in” barrier, the option holder cannot do or decide on anything before the option is activated, and once the option is activated it is just a plain vanilla call, which could be of American style or European style.

Publication Date


  • 2016

Citation


  • Le, N., Lu, X. & Zhu , S. (2016). An analytical solution for Parisian up-and-in calls. ANZIAM Journal, 57 (3), 269-279.

Scopus Eid


  • 2-s2.0-84960228926

Ro Full-text Url


  • http://ro.uow.edu.au/cgi/viewcontent.cgi?article=6697&context=eispapers

Ro Metadata Url


  • http://ro.uow.edu.au/eispapers/5669

Number Of Pages


  • 10

Start Page


  • 269

End Page


  • 279

Volume


  • 57

Issue


  • 3

Place Of Publication


  • United Kingdom

Abstract


  • We derive an analytical solution for the value of Parisian up-and-in calls by using the “moving window” technique for pricing European-style Parisian up-and-out calls. Our pricing formula can be applied to both European-style and American-style Parisian up-and-in calls, due to the fact that with an “in” barrier, the option holder cannot do or decide on anything before the option is activated, and once the option is activated it is just a plain vanilla call, which could be of American style or European style.

Publication Date


  • 2016

Citation


  • Le, N., Lu, X. & Zhu , S. (2016). An analytical solution for Parisian up-and-in calls. ANZIAM Journal, 57 (3), 269-279.

Scopus Eid


  • 2-s2.0-84960228926

Ro Full-text Url


  • http://ro.uow.edu.au/cgi/viewcontent.cgi?article=6697&context=eispapers

Ro Metadata Url


  • http://ro.uow.edu.au/eispapers/5669

Number Of Pages


  • 10

Start Page


  • 269

End Page


  • 279

Volume


  • 57

Issue


  • 3

Place Of Publication


  • United Kingdom