Dassios, Angelos 
ORCID: 0000-0002-3968-2366 and Lim, Jia Wei
(2017)
An analytical solution for the two-sided Parisian stopping time, its asymptotics and the pricing of Parisian options.
Mathematical Finance, 27 (2).
pp. 604-620.
ISSN 0960-1627
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Abstract
In this paper, we obtain a recursive formula for the density of the two-sided Parisian stopping time. This formula does not require any numerical inversion of Laplace transforms, and is similar to the formula obtained for the one-sided Parisian stopping time derived in Dassios and Lim [6]. However, when we study the tails of the two distributions, we find that the two-sided stopping time has an exponential tail, while the one-sided stop- ping time has a heavier tail. We derive an asymptotic result for the tail of the two-sided stopping time distribution and propose an alternative method of approximating the price of the two-sided Parisian option.
| Item Type: | Article |
|---|---|
| Official URL: | http://onlinelibrary.wiley.com/journal/10.1111/(IS... |
| Additional Information: | © 2015 Wiley Periodicals, Inc. |
| Divisions: | Statistics |
| Subjects: | H Social Sciences > HG Finance Q Science > QA Mathematics |
| Date Deposited: | 12 Nov 2014 12:06 |
| Last Modified: | 14 Sep 2024 07:16 |
| URI: | http://eprints.lse.ac.uk/id/eprint/60154 |
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