Pricing Parisian options using Laplace transforms

Céline Labart (1, 2) , Jérôme Lelong (1, 3)

1 MATHFI - Financial mathematics
2 CMAP - Centre de Mathématiques Appliquées - Ecole Polytechnique
3 CERMICS - Centre d'Enseignement et de Recherche en Mathématiques et Calcul Scientifique

In this work, we propose to price Parisian options using Laplace transforms. Not only do we compute the Laplace transforms of all the different Parisian options, but we also explain how to invert them numerically. We prove the accuracy of the numerical inversion.

Domaines: Probabilités [math.PR]; Pricing [q-fin.PR]

Céline Labart, Jérôme Lelong. Pricing Parisian options using Laplace transforms. Bankers Markets & Investors : an academic & professional review, 2009, 99, 24 p. ⟨hal-00776703⟩