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Perturbed Brownian motion and its application to Parisian option pricing

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References

1999Continuous Martingales and Brownian Motion6,200 cited
1997Brownian Excursions and Parisian Barrier Options255 cited
1995The Distribution of the Quantile of a Brownian Motion with Drift and the Pricing of Related Path-Dependent Options100 cited
1995Some Formulae for a New Type of Path-Dependent Option96 cited

Cited by

2016On magnitude, asymptotics and duration of drawdowns for Lévy models53 cited
2013Dividend Problem with Parisian Delay for a Spectrally Negative Lévy Risk Process42 cited
2009On barrier strategy dividends with Parisian implementation delay for classical surplus processes29 cited
2009PRICING DOUBLE BARRIER PARISIAN OPTIONS USING LAPLACE TRANSFORMS28 cited
2012Pricing of Parisian Options for a Jump-Diffusion Model with Two-Sided Jumps25 cited
2011Double-Barrier Parisian Options24 cited
2014Liquidation risk in the presence of Chapters 7 and 11 of the US bankruptcy code21 cited
2013Parisian Option Pricing: A Recursive Solution for the Density of the Parisian Stopping Time19 cited

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