文章基本信息

标题：Pricing Double Barrier Parisian Option Using Finite Difference
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作者：Xuemei Gao
期刊名称：Journal of Financial Risk Management
印刷版ISSN：2167-9533
电子版ISSN：2167-9541
出版年度：2013
卷号：02
期号：04
页码：67-70
DOI：10.4236/jfrm.2013.24011
语种：English
出版社：Scientific Research Publishing
摘要：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.
关键词：Black-Scholes Model; Double Barrier; Parisian Options; Finite Difference Scheme