DocumentCode
19428
Title
A Smoothed Perturbation Analysis of Parisian Options
Author
Heidergott, Bernd ; Leahu, Haralambie ; Volk-Makarewicz, Warren M.
Author_Institution
Dept. of Econ., Vrije Univ., Amsterdam, Netherlands
Volume
60
Issue
2
fYear
2015
fDate
Feb. 2015
Firstpage
469
Lastpage
474
Abstract
In this technical note we provide a smoothed perturbation analysis (SPA) estimator of the sensitivity of a discrete time Parisian option with respect to the barrier level. The analysis put forward is of interest in a broader context than that of exotic options as we provide an SPA analysis for a problem where the critical event for the SPA estimator is based on an entire sample path, which is a novelty in the literature. Numerical examples illustrate the performance of the estimator.
Keywords
perturbation theory; pricing; sensitivity analysis; SPA analysis; SPA estimator; discrete time Parisian option; exotic options; smoothed perturbation analysis; Contracts; Estimation; Monte Carlo methods; Sensitivity; Silicon; Standards; Tin; Option pricing; Parisian option; sensitivity analysis; smoothed perturbation analysis;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/TAC.2014.2326717
Filename
6820745
Link To Document