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Brownian excursions outside a corridor and two-sided Parisian options

Dassios, Angelos and Wu, Shanle (2011) Brownian excursions outside a corridor and two-sided Parisian options. Department of Statistics, London School of Economics and Political Science, London, UK. (Unpublished)

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Abstract

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.

Item Type: Monograph (Working Paper)
Official URL: http://www2.lse.ac.uk/statistics/home.aspx
Additional Information: © 2011 The Authors
Library of Congress subject classification: H Social Sciences > HA Statistics
Sets: Departments > Statistics
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 02 Feb 2011 16:35
URL: http://eprints.lse.ac.uk/32045/

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