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

Preview

Text - Accepted Version Download (417kB) | Preview

• Author

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:	23 Nov 2024 04:54
URI:	http://eprints.lse.ac.uk/id/eprint/85643

Actions (login required)

View Item