An analytical solution for Parisian up-and-in calls

Authors

Nhat Tan Le, University of WollongongFollow
Xiaoping Lu, University of WollongongFollow
Song-Ping Zhu, University of WollongongFollow

RIS ID

105385

Publication Details

Le, N., Lu, X. & Zhu , S. (2016). An analytical solution for Parisian up-and-in calls. ANZIAM Journal, 57 (3), 269-279.

Abstract

We derive an analytical solution for the value of Parisian up-and-in calls by using the "moving window" technique for pricing European-style Parisian up-and-out calls. Our pricing formula can be applied to both European-style and American-style Parisian up-and-in calls, due to the fact that with an "in" barrier, the option holder cannot do or decide on anything before the option is activated, and once the option is activated it is just a plain vanilla call, which could be of American style or European style.