Author(s)

Xuemei Gao

South Western University of Finance and Economics, Chengdu, China.

In this paper, we price the valuation of double barrier Parisian options, under the Black-Scholes framework. The approach is based on fundamental partial differential equations. We reduce the dimension of partial differential equations，then using finite difference scheme to solve the partial differential equations.

Black-Scholes Model; Double Barrier; Parisian Options; Finite Difference Scheme

Gao, X. (2013). Pricing Double Barrier Parisian Option Using Finite Difference. Journal of Financial Risk Management, 2, 67-70. doi: 10.4236/jfrm.2013.24011.