Perturbed Brownian motion and its application to Parisian option pricing

DOI10.1007/S00780-009-0113-0zbMath1226.91073OpenAlexW2054092618MaRDI QIDQ650763

Angelos Dassios, Shanle Wu

Publication date: 27 November 2011

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-009-0113-0

Mathematics Subject Classification ID

Brownian motion (60J65) Markov renewal processes, semi-Markov processes (60K15) Derivative securities (option pricing, hedging, etc.) (91G20) Continuous-time Markov processes on discrete state spaces (60J27)

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Cites Work

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• Double-sided Parisian option pricing
• Excursions in Brownian motion
• Some applications of occupation times of Brownian motion with drift in mathematical finance
• Some formulae for a new type of path-dependent option
• The distribution of the quantile of a Brownian motion with drift and the pricing of related path-dependent options
• PRICING DOUBLE BARRIER PARISIAN OPTIONS USING LAPLACE TRANSFORMS
• Brownian Excursions and Parisian Barrier Options
• Brownian excursions and Parisian barrier options: a note

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