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Perturbed Brownian motion and its application to Parisian option pricing · Study

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ArticlePerturbed Brownian motion and its application to Parisian option pricing

Angelos Dassios2009

Article2009

Perturbed Brownian motion and its application to Parisian option pricing

Angelos Dassios · Shanle Wu

54 citations·0/0 files stored·Finance and Stochastics

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

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References

1999Continuous Martingales and Brownian Motion 1997Brownian Excursions and Parisian Barrier Options 1995The Distribution of the Quantile of a Brownian Motion with Drift and the Pricing of Related Path-Dependent Options 1995Some Formulae for a New Type of Path-Dependent Option

Cited by

2016On magnitude, asymptotics and duration of drawdowns for Lévy models 2013Dividend Problem with Parisian Delay for a Spectrally Negative Lévy Risk Process 2009PRICING DOUBLE BARRIER PARISIAN OPTIONS USING LAPLACE TRANSFORMS 2012Pricing of Parisian Options for a Jump-Diffusion Model with Two-Sided Jumps 2011Double-Barrier Parisian Options 2014Liquidation risk in the presence of Chapters 7 and 11 of the US bankruptcy code

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Year2009

Typearticle

Published2009-11-09

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations54

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00780-009-0113-0

openalex_workW2054092618

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