A smoothed perturbation analysis for Parisian options

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

Research output: Contribution to JournalArticleAcademicpeer-review


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.
Original languageEnglish
Pages (from-to)469-474
JournalIEEE Transactions on Automatic Control
Issue number2
Early online date23 May 2014
Publication statusPublished - 2015


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