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Double-Barrier Parisian Options
7 references·0 citing·27 second hop
Double-Barrier Parisian Options (2011)Double-Barrier Parisian OptionsPerturbed Brownian motion and its application to Parisian option pricing (2009)Perturbed Brownian motion and…Brownian excursions and Parisian barrier options: a note (2003)Brownian excursions and Paris…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Pricing Parisian Options (1997)Pricing Parisian OptionsBrownian Excursions and Parisian Barrier Options (1997)Brownian Excursions and Paris…Handbook of Brownian Motion — Facts and Formulae (1996)Handbook of Brownian Motion —…Markov Models & Optimization (1993)Markov Models & OptimizationThe Distribution of the Quantile of a Brownian Motion with Drift and the Pricing of Related Path-Dependent Options (1995)PRICING DOUBLE BARRIER PARISIAN OPTIONS USING LAPLACE TRANSFORMS (2009)Dividend Problem with Parisian Delay for a Spectrally Negative Lévy Risk Process (2013)On magnitude, asymptotics and duration of drawdowns for Lévy models (2016)The Pricing of Options and Corporate Liabilities (1973)The pricing of call and put options on foreign exchange (1983)BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES (1993)PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH (1996)ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications (2004)Option Pricing: Valuation Models and Applications (2004)Brownian Motion and Stochastic Flow Systems. (1987)A New Procedure for Pricing Parisian Options (2005)Brownian Motion and Stochastic Calculus (2007)Pricing Parisian and Parasian options analytically (2012)Option pricing: Mathematical models and computation (1994)Default risk, bankruptcy procedures and the market value of life insurance liabilities (2006)Extending quadrature methods to value multi-asset and complex path dependent options (2006)Introduction to Stochastic Calculus Applied to Finance (2011)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Drift Independent Volatility Estimation Based on High, Low, Open, and Close Prices (2000)EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?* (2009)Fluctuations of Lévy Processes with Applications (2014)Stability and convergence of moments for multiclass queueing networks via fluid limit models (1995)Controlled diffusion models for optimal dividend pay-out (1997)Dynamic modeling and control of supply chain systems: A review (2007)
this work references cited by second hop

References

  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 1996Handbook of Brownian Motion — Facts and Formulae1,391 cited
  • 1993Markov Models & Optimization861 cited
  • 1997Brownian Excursions and Parisian Barrier Options255 cited
  • 1997Pricing Parisian Options72 cited
  • 2009Perturbed Brownian motion and its application to Parisian option pricing54 cited
  • 2003Brownian excursions and Parisian barrier options: a note54 cited

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