Dassios, Angelos and Wu, Shanle (2010) Perturbed Brownian motion and its application to Parisian option pricing. Finance and stochastics, 14 (3). pp. 473-494. ISSN 0949-2984
Abstract
In this paper, we study the excursion times of a Brownian motion with drift below and above a given level by using a simple two-state semi-Markov model. In mathematical finance, these results have an important application in the valuation of path-dependent options such as Parisian options. Based on our results, we introduce a new type of Parisian options, single-barrier two-sided Parisian options, and give an explicit expression for the Laplace transform of its price formula.
| Item Type: | Article |
|---|---|
| Official URL: | http://www.springerlink.com/content/0949-2984 |
| Additional Information: | © 2010 Springer |
| Uncontrolled Keywords: | barrier options, excursions, ISI |
| Library of Congress subject classification: | H Social Sciences > HG Finance |
| Sets: | Collections > Economists Online Departments > Statistics |
| Rights: | http://www.lse.ac.uk/library/rights/LSERO.htm |
| Identification Number: | UT ISI:000280076300007 |
| URL: | http://eprints.lse.ac.uk/28993/ |
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