JFRM  Vol.2 No.4 , December 2013
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.
Cite this paper: 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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