Dassios, Angelos ORCID: 0000-0002-3968-2366 and Wu, Shanle
(2011)
Double-barrier Parisian options.
Journal of Applied Probability, 48 (1).
pp. 1-20.
ISSN 0021-9002
Identification Number: 10.1239/jap/1300198132
Abstract
In this paper we study the excursion time of a Brownian motion with drift outside a corridor by using a four-state semi-Markov model. In mathematical finance, these results have an important application in the valuation of double-barrier Parisian options. We subsequently obtain an explicit expression for the Laplace transform of its price.
Item Type: | Article |
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Official URL: | http://projecteuclid.org/DPubS?service=UI&version=... |
Additional Information: | © 2011 Journal of Applied Probability |
Divisions: | Statistics |
Subjects: | H Social Sciences > HA Statistics |
Date Deposited: | 18 Apr 2011 09:25 |
Last Modified: | 16 Jul 2024 19:15 |
URI: | http://eprints.lse.ac.uk/id/eprint/35701 |
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