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Pricing Double Barrier Parisian Option Using Finite Difference
South Western University of Finance and Economics, Chengdu, China
- 1 South Western University of Finance and Economics, Chengdu, China
Journal of Financial Risk Management·Volume 02 (2013)·Pages 67–70·Published 2 October 2013·DOI10.4236/jfrm.2013.24011
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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.
KeywordsBlack-Scholes ModelDouble BarrierParisian OptionsFinite Difference Scheme
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