Perturbed Brownian motion and its application to Parisian option pricing

DOI10.1007/s00780-009-0113-0zbMath1226.91073MaRDI 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

60J65: Brownian motion

60K15: Markov renewal processes, semi-Markov processes

91G20: Derivative securities (option pricing, hedging, etc.)

60J27: Continuous-time Markov processes on discrete state spaces

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