{"id":"https://openalex.org/W2268323716","doi":null,"title":"Pricing Parisian Options","display_name":"Pricing Parisian Options","publication_year":1997,"publication_date":"1997-01-01","ids":{"openalex":"https://openalex.org/W2268323716","mag":"2268323716"},"language":"en","primary_location":{"id":"pmh:oai:CiteSeerX.psu:10.1.1.41.5131","doi":null,"is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.41.5131","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://www.finasto.uni-bonn.de/~schonbuc/papers/paris.pdf","raw_type":"text"},"volume":null,"type":"article","indexed_in":[],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":null,"display_name":"Richard J. Haber","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I40120149","display_name":"University of Oxford","ror":"https://ror.org/052gg0110","country_code":"GB","type":"education","lineage":["https://openalex.org/I40120149"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Richard J. Haber","raw_affiliation_strings":["University of Oxford - Nomura Centre for Mathematical Finance"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"University of Oxford - Nomura Centre for Mathematical Finance","institution_ids":["https://openalex.org/I40120149"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5080772121","display_name":"Philipp Sch\u00f6nbucher","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I35440088","display_name":"ETH Zurich","ror":"https://ror.org/05a28rw58","country_code":"CH","type":"education","lineage":["https://openalex.org/I2799323385","https://openalex.org/I35440088"]}],"countries":["CH"],"is_corresponding":false,"raw_author_name":"Philipp J. Sch\u00f6nbucher","raw_affiliation_strings":["ETH Z\u00fcrich - Department of Mathematics"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"ETH Z\u00fcrich - Department of Mathematics","institution_ids":["https://openalex.org/I35440088"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5078264001","display_name":"Paul Wilmott","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I40120149","display_name":"University of Oxford","ror":"https://ror.org/052gg0110","country_code":"GB","type":"education","lineage":["https://openalex.org/I40120149"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Paul Wilmott","raw_affiliation_strings":["University of Oxford - Nomura Centre for Mathematical Finance"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"University of Oxford - Nomura Centre for Mathematical Finance","institution_ids":["https://openalex.org/I40120149"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":0.8108,"has_fulltext":false,"cited_by_count":72,"citation_normalized_percentile":{"value":0.84988257,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":88,"max":99},"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":1.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":1.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12276","display_name":"Risk Management in Financial Firms","score":0.0,"subfield":{"id":"https://openalex.org/subfields/1402","display_name":"Accounting"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/parisian-options","display_name":"Parisian options","score":0.9990000128746033},{"id":"https://openalex.org/keywords/barrier-options","display_name":"barrier options","score":0.9879999756813049},{"id":"https://openalex.org/keywords/option-pricing","display_name":"option pricing","score":0.9620000123977661},{"id":"https://openalex.org/keywords/partial-differential-equations","display_name":"partial differential equations","score":0.5230000019073486},{"id":"https://openalex.org/keywords/hedging","display_name":"hedging","score":0.6380000114440918},{"id":"https://openalex.org/keywords/gamma","display_name":"gamma","score":0.4699999988079071},{"id":"https://openalex.org/keywords/exotic-options","display_name":"exotic options","score":0.41100001335144043}],"concepts":[{"id":"https://openalex.org/C22171661","wikidata":"https://www.wikidata.org/wiki/Q1074380","display_name":"Stochastic game","level":2,"score":0.7612133026123047},{"id":"https://openalex.org/C186027771","wikidata":"https://www.wikidata.org/wiki/Q4008379","display_name":"Valuation (finance)","level":2,"score":0.6699013113975525},{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.5649012327194214},{"id":"https://openalex.org/C93779851","wikidata":"https://www.wikidata.org/wiki/Q271977","display_name":"Partial differential equation","level":2,"score":0.5496446490287781},{"id":"https://openalex.org/C138060521","wikidata":"https://www.wikidata.org/wiki/Q584207","display_name":"Exotic option","level":3,"score":0.49619776010513306},{"id":"https://openalex.org/C77618280","wikidata":"https://www.wikidata.org/wiki/Q1155772","display_name":"Scheme (mathematics)","level":2,"score":0.4954150915145874},{"id":"https://openalex.org/C72434380","wikidata":"https://www.wikidata.org/wiki/Q230930","display_name":"State space","level":2,"score":0.4801192283630371},{"id":"https://openalex.org/C104859751","wikidata":"https://www.wikidata.org/wiki/Q5450390","display_name":"Finite difference methods for option pricing","level":4,"score":0.4648069143295288},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.4445742070674896},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.43270355463027954},{"id":"https://openalex.org/C2778572836","wikidata":"https://www.wikidata.org/wiki/Q380933","display_name":"Space (punctuation)","level":2,"score":0.41538164019584656},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.40628236532211304},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.3943241834640503},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.37731054425239563},{"id":"https://openalex.org/C159998540","wikidata":"https://www.wikidata.org/wiki/Q7295776","display_name":"Rational pricing","level":3,"score":0.23505625128746033},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.23246699571609497},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.21434414386749268},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.09938651323318481},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.0980907678604126},{"id":"https://openalex.org/C181236170","wikidata":"https://www.wikidata.org/wiki/Q848354","display_name":"Capital asset pricing model","level":2,"score":0.07601934671401978},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.0},{"id":"https://openalex.org/C111919701","wikidata":"https://www.wikidata.org/wiki/Q9135","display_name":"Operating system","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"pmh:oai:CiteSeerX.psu:10.1.1.41.5131","doi":null,"is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.41.5131","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://www.finasto.uni-bonn.de/~schonbuc/papers/paris.pdf","raw_type":"text"}],"best_oa_location":null,"sustainable_development_goals":[],"sustainable_development_goals_aurora":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":5,"referenced_works":["https://openalex.org/W1525526370","https://openalex.org/W1600624394","https://openalex.org/W1995417036","https://openalex.org/W2069193625","https://openalex.org/W2143515608"],"related_works":["https://openalex.org/W7017249655","https://openalex.org/W2016090747","https://openalex.org/W2481204580","https://openalex.org/W4206624596","https://openalex.org/W2030629250","https://openalex.org/W4417247270","https://openalex.org/W2068745059","https://openalex.org/W6961234676","https://openalex.org/W4252003699","https://openalex.org/W1907556211"],"abstract_inverted_index":{"Introduction":[0],"Parisian":[1,55,120,151],"options":[2,5,56,93,130],"are":[3,112],"barrier":[4,81,92,100],"for":[6],"which":[7],"the":[8,15,26,36,40,48,67,77,80,85,99,119,132,149],"knock-in/knock-out":[9],"feature":[10],"is":[11,35,52,59,72],"only":[12],"activated":[13],"after":[14],"price":[16,143],"process":[17],"has":[18,30],"spent":[19],"a":[20,62,124,136,144],"certain":[21],"prescribed,":[22],"consecutive":[23],"time":[24],"beyond":[25],"barrier.":[27,68],"This":[28,51,140],"specification":[29],"two":[31],"motivations:":[32],"First,":[33],"there":[34],"need":[37],"to":[38,75,98,127],"make":[39],"option":[41],"more":[42],"robust":[43],"against":[44],"short-term":[45],"movements":[46],"of":[47,79,84,135,146,148],"share":[49],"price.":[50],"achieved":[53],"in":[54,118],"where":[57],"it":[58,71],"ensured":[60],"that":[61],"single":[63],"outlier":[64],"cannot":[65],"trigger":[66],"In":[69],"particular,":[70],"far":[73],"harder":[74],"a#ect":[76],"triggering":[78],"by":[82],"manipulation":[83],"underlying":[86],"(see":[87],"Taleb":[88],"[4]).":[89],"Second,":[90],"classical":[91],"present":[94,123],"hedging":[95],"problems":[96,111],"close":[97],"because":[101],"their":[102],"Gamma":[103],"becomes":[104],"very":[105],"large.":[106],"To":[107],"some":[108],"extent,":[109],"these":[110],"reduced,":[113],"or":[114],"at":[115],"least":[116],"`smoothed',":[117],"contract.":[121],"We":[122],"flexible":[125],"approach":[126,141],"valuing":[128],"such":[129],"using":[131],"numerical":[133],"solution":[134],"partial":[137],"di#erential":[138],"equation.":[139],"can":[142],"variety":[145],"modifications":[147],"basic":[150],"contract":[152]},"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2023,"cited_by_count":2},{"year":2021,"cited_by_count":1},{"year":2019,"cited_by_count":1},{"year":2018,"cited_by_count":1},{"year":2017,"cited_by_count":2},{"year":2016,"cited_by_count":3},{"year":2014,"cited_by_count":4},{"year":2013,"cited_by_count":7},{"year":2012,"cited_by_count":4}],"updated_date":"2026-10-12T09:40:04.860316","created_date":"2016-06-24T00:00:00"}
