On the valuation of Paris options: foundational results

Details On the valuation of Paris options: foundational results On the valuation of Paris options: foundational results

2000-04-04

arxiv.org/abs/math/0004016v1

Mathematics

Classical Analysis and ODEs

16 Pages, 2 Figures

Scientific paper

This paper adresses the valuation of the Paris barrier options proposed by Yor, Jeanblanc-Picque, and Chesnay (Advances in Applied Probability, 29(1997), 165-184) using the Laplace transform approach. Based on suggestions by Pliska the notion of Paris options is extended such that their valuation is possible at any point during their lifespan. The Laplace transforms derived by Yor et al. are modified when necessary, and their basic analytic properties are discussed.

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