Dassios, Angelos and Wu, Shanle
Brownian excursions outside a corridor and two-sided Parisian options.
Department of Statistics, London School of Economics and Political Science, London, UK.
In this paper, we study the excursion time of a Brownian motion with drift outside a corridor by using a four states semi-Markov model. In mathematical finance, these results have an important application in the valuation of double barrier Parisian options. In this paper, we obtain an explicit expression for the Laplace transform of its price.
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