A Smoothed Perturbation Analysis Approach to Parisian Options

B.F. Heidergott, H. Leahu, W.M. Volk-Makarewicz

Research output: Working paperProfessional

Original languageEnglish
Place of PublicationAmsterdam
PublisherFaculty of Economics and Business Administration
Number of pages14
Publication statusPublished - 2013

Publication series

NameResearch Memorandum
No.2013-36

Cite this

Heidergott, B. F., Leahu, H., & Volk-Makarewicz, W. M. (2013). A Smoothed Perturbation Analysis Approach to Parisian Options. (Research Memorandum; No. 2013-36). Amsterdam: Faculty of Economics and Business Administration.