A smoothed perturbation analysis for Parisian options

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

doi:10.1109/TAC.2014.2326717

A smoothed perturbation analysis for Parisian options

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

Amsterdam Business Research Institute

Research output: Contribution to Journal › Article › Academic › peer-review

Abstract

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 language	English
Pages (from-to)	469-474
Journal	IEEE Transactions on Automatic Control
Volume	60
Issue number	2
Early online date	23 May 2014
DOIs	https://doi.org/10.1109/TAC.2014.2326717
Publication status	Published - 2015

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title = "A smoothed perturbation analysis for Parisian options",

abstract = "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.",

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AU - Volk-Makarewicz, W.

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N2 - 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.

AB - 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.

U2 - 10.1109/TAC.2014.2326717

DO - 10.1109/TAC.2014.2326717

M3 - Article

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VL - 60

SP - 469

EP - 474

JO - IEEE Transactions on Automatic Control

JF - IEEE Transactions on Automatic Control

IS - 2

ER -

A smoothed perturbation analysis for Parisian options

Abstract

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