Pricing moving window Parisian options by hitting time simulation

GUO Dong-mei, SONG Bin, WANG Shou-yang, ZHANG Bing-jie

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Systems Engineering - Theory & Practice ›› 2013, Vol. 33 ›› Issue (3) : 577-584. DOI: 10.12011/1000-6788(2013)3-577

Pricing moving window Parisian options by hitting time simulation

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