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Avellaneda, M., & Wu, L. (1999). Pricing parisian-style options with a lattice method. International Journal of Theoretical and Applied Finance, 2, 1-16. http://dx.doi.org/10.1142/S0219024999000029

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.