Dassios, Angelos and Wu, Shanle (2011) Double-barrier Parisian options. Journal of applied probability, 48 (1). pp. 1-20. ISSN 0021-9002
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 |
|---|---|
| Official URL: | http://projecteuclid.org/DPubS?service=UI&version=... |
| Additional Information: | © 2011 Journal of Applied Probability |
| Library of Congress subject classification: | H Social Sciences > HA Statistics |
| Sets: | Departments > Statistics |
| Rights: | http://www.lse.ac.uk/library/rights/LSERO.htm |
| URL: | http://eprints.lse.ac.uk/35701/ |
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