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Recursive formula for the double barrier Parisian stopping time

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
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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