Double-Barrier Parisian Options

Angelos Dassios · Shanle Wu

24 citations0/0 files storedJournal of Applied Probability

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Probability and Statistical Research Probability and Risk Models

Abstract

In this paper we study the excursion time of a Brownian motion with drift outside a corridor by using a four-state semi-Markov model. In mathematical finance, these results have an important application in the valuation of double-barrier Parisian options. We subsequently obtain an explicit expression for the Laplace transform of its price.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 24 citations exist upstream.

References

1999Continuous Martingales and Brownian Motion 1996Handbook of Brownian Motion — Facts and Formulae 1993Markov Models & Optimization 1997Brownian Excursions and Parisian Barrier Options 1997Pricing Parisian Options 2009Perturbed Brownian motion and its application to Parisian option pricing 2003Brownian excursions and Parisian barrier options: a note

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.