Abstract
We provide new and discrete time combinatorial approaches to evaluate Parisian options. By using generating functions, a very useful tool in lattice path enumeration, the computation of consecutive and cumulative Parisian options is significantly simplified. This leads to combinatorial algorithms that reduce the computational complexity and produce highly accurate prices.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.