Pricing Parisian and ParAsian Options by a Vectorized Binomial or Trinomial Tree
将二叉树和三叉树扩展，通过在每个节点跟踪不同情景下的期权价格向量，为欧式和美式巴黎期权及亚式巴黎期权定价，并引入时间步长选择方法提高精度。
ABSTRACT We extend binomial and trinomial trees to price European and American style Parisian and ParAsian options by keeping track of a vector of option prices under different scenarios at each tree node. We also incorporate the method for choosing the number of time‐steps that will yield more precise price estimates. The vectorized tree models can easily price exotic path‐dependent options such as American double barrier Parisian options and look‐back options, which present challenges to other existing methods.