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Double-barrier Parisian options

Dassios, Angelos and Wu, Shanle (2011) Double-barrier Parisian options. Journal of Applied Probability, 48 (1). pp. 1-20. ISSN 0021-9002

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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
Official URL:
Additional Information: © 2011 Journal of Applied Probability
Library of Congress subject classification: H Social Sciences > HA Statistics
Sets: Departments > Statistics
Date Deposited: 18 Apr 2011 09:25

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