Pricing Double Barrier Parisian Option Using Finite Difference ()
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.
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.
Conflicts of Interest
The authors declare no conflicts of interest.
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