TITLE:
Pricing Double Barrier Parisian Option Using Finite Difference
AUTHORS:
Xuemei Gao
KEYWORDS:
Black-Scholes Model; Double Barrier; Parisian Options; Finite Difference Scheme
JOURNAL NAME:
Journal of Financial Risk Management,
Vol.2 No.4,
October
31,
2013
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.