The Pricing and Hedging of Parisian Options

• Main Authors: Chih-Yuan Lin, 林志遠
• Other Authors: Shyan-Yuan Lee
• Format: Others
• Language: zh-TW
• Published: 2000
• Online Access: http://ndltd.ncl.edu.tw/handle/15546535887427757451

碩士 === 國立臺灣大學 === 財務金融學研究所 === 88 === A Parisian option is the derivative of barrier options. The difference between Parisian options and barrier options is：the knock-in or knock-out feature is triggered if the price of underlying asset remains continuously beyond the barrier for a pre-specified amount of time. The thesis can be divided into three parts：（1）introduce the basic definition and types of Parisian options；（2）discuss the pricing model：here I use the finite difference method to evaluate；（3）construct an example to investigate the price behavior and hedging parameters of Parisian options. I hope the thesis will help those who want to study the derivatives of Parisian options in the future. The following are the advantages of Parisian options： （1）The price will not be easily influenced by some particular events. （2）Someone doesn't manipulate the price of underlying asset with ease to affect the option price. （3）The hedging problem（delta jump）will not exist when the underlying asset price is near the barrier.