Dongmei Guo, Bin Song, Shouyang Wang, Bingjie Zhang. Pricing Moving Window Parisian Option and Applications in Convertible Bonds. In Vassil N. Alexandrov, Michael Lees, Valeria V. Krzhizhanovskaya, Jack Dongarra, Peter M. A. Sloot, editors, Proceedings of the International Conference on Computational Science, ICCS 2013, Barcelona, Spain, 5-7 June, 2013. Volume 18 of Procedia Computer Science, pages 1674-1683, Elsevier, 2013. [doi]
Abstract is missing.