Hi there,Can anyone tell me what are the closed form solutions for Parisian and ParAsian option with dividen?Thanks a lot

our paul wilmott did a detailed one on Parisians with Haber et al. I don't have it around but i am sure a search on google would do it. I believe that they suggest the pricing of parisians and i believe also parasians in conditions where its an american option and also with dividends."American in Paris" Wilmott, Haber, Schonbucherand theres another article with Epstein as well.Hope thats a lead.

Thanks a lot montecarlo

as monte-carlo saidHaber Schonbucher Wilmott have"Pricing Parisian Options," Journal of Derivatives, 1999, v6(3,Spring), 71-80. they use a multi-dimensional Finite Difference grid, so it's not closed-form but works very welland takes care of dividends etc I once tried the Cornwall & Kentwell closed-form model but it's very unstable and the autors admit that

QuoteOriginally posted by: amkeyHi there,Can anyone tell me what are the closed form solutions for Parisian and ParAsian option with dividen?Thanks a lotI do a French master of science in quant finance and I did a small research project about pricing and hedging Parisian options.By Parisian options, you mean "consecutive Parisian options" (total time of an knock-in/out excursion of the underlying) and by ParAsian, you speak about "cumulative Parisian options" (cumulative time spend by several excursions).For simple Parisian options (consecutive), you will find ALL closed-forms for up/down-and-in/out call/put with dividend at the web site of French Polytechnique School (recent paper of dec. 2005) or CERMICS.But only Laplace transforms of prices have closed forms, therefore you need to compute the inversion of LT prices by Euler-Fourier method (see Abate and Whitt) for ex. For ParAsian options, you have these papers:J. Hugonnier. The Feynman-Kac formula and pricing occupation time derivatives,International Journal of Theoretical and Applied Finance, 2(2), 153-178, 1999.F. Moraux. On cumulative Parisian options, Finance, 23 (Special Issue in FinancialMathematics), 127-132, 2002.See hereIf you want more info, you can send to me a PM with your email address and I can give you my pdf papers about Parisian options.

QuoteOriginally posted by: amkeyHi there,Can anyone tell me what are the closed form solutions for Parisian and ParAsian option with dividen?Thanks a lotSee this article from CERMICS lab.http://cermics.enpc.fr/reports/CERMICS- ... 94.pdfThey introduce a dividend rate in equations and compute Laplace transf. for pricing these options.If you are interested, a paper about Pricing American-Parisian options will appear this year. Preprint here