Dassios, Angelos ORCID: 0000-0002-3968-2366 and Lim, Jia Wei (2018) Recursive formula for the double barrier Parisian stopping time. Journal of Applied Probability, 55 (1). pp. 282-301. ISSN 0021-9002
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Identification Number: 10.1017/jpr.2018.17
Abstract
In this paper, we obtain a recursive formula for the density of the double barrier Parisian stopping time. We present a probabilistic proof of the formula for the first few steps of the recursion, and then a formal proof using explicit Laplace inversions. These results provide an efficient computational method for pricing double barrier Parisian options.
Item Type: | Article |
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Official URL: | http://www.cambridge.org/ |
Additional Information: | © 2017 The Author |
Divisions: | Statistics |
Subjects: | Q Science > QA Mathematics |
Date Deposited: | 20 Nov 2017 09:27 |
Last Modified: | 13 Sep 2024 13:08 |
URI: | http://eprints.lse.ac.uk/id/eprint/85643 |
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