Pricing Double Barrier Parisian Option Using Finite Difference - Journal of Financial Risk Management

JFRM > Vol.2 No.4, December 2013

Journal of Financial Risk Management

Volume 2, Issue 4 (December 2013)

ISSN Print: 2167-9533 ISSN Online: 2167-9541

Google-based Impact Factor: 1.09 Citations

Pricing Double Barrier Parisian Option Using Finite Difference ()

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Download as PDF (Size: 103KB) PP. 67-70

DOI: 10.4236/jfrm.2013.24011 4,796 Downloads 8,950 Views Citations

Author(s)

Xuemei Gao

Affiliation(s)

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

ABSTRACT

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.

KEYWORDS

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

Share and Cite:

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.

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