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Baldi, P. Caramellino, L., & Iovino, M. G. (2000). Pricing complex barrier options with general features using sharp large deviation estimates. In Monte Carlo and quasi-Monte Carlo methods in scientific computing (3rd ed., pp. 149-162). Claremont, CA: Springer.

has been cited by the following article:

• TITLE: Pricing Double Barrier Parisian Option Using Finite Difference

  AUTHORS: Xuemei Gao

  KEYWORDS: Black-Scholes Model; Double Barrier; Parisian Options; Finite Difference Scheme

  JOURNAL NAME: Journal of Financial Risk Management, Vol.2 No.4, October 31, 2013

  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.