American Parisian options
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Publication:881414
DOI10.1007/s00780-006-0015-3zbMath1126.91025OpenAlexW3123310357MaRDI QIDQ881414
Marc Chesney, Laurent Gauthier
Publication date: 29 May 2007
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://www.zora.uzh.ch/id/eprint/54042/10/ZORA_NL_54042.pdf
Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Optimal stopping in statistics (62L15)
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Cites Work
- Optimal stopping for a diffusion with jumps
- Edokko options: a new framework of barrier options
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