A Smoothed Perturbation Analysis of Parisian Options

作者：Heidergott Bernd^*; Leahu Haralambie; Volk Makarewicz Warren M

来源：IEEE Transactions on Automatic Control, 2015, 60(2): 469-474.

DOI：10.1109/TAC.2014.2326717

• Option pricing
• Parisian option
• sensitivity analysis
• smoothed perturbation analysis

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.

• 出版日期2015-2