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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.