Dassios, Angelos and Wu, Shanle (2011) Double-barrier Parisian options. Journal of applied probability, 48 (1). pp. 1-20. ISSN 0021-9002
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.
|Additional Information:||© 2011 Journal of Applied Probability|
|Library of Congress subject classification:||H Social Sciences > HA Statistics|
|Sets:||Departments > Statistics|
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