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Wilmott, P. (1998). Derivatives: The theory and practice of financial engineering (University ed). Hoboken, NJ: Wiley.

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.