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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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:	09 Mar 2024 23:00
URI:	http://eprints.lse.ac.uk/id/eprint/85643

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