On three methods for explicit handling of convolutions as applied to brownian excursions and parisian barrier options

DOI10.1093/qjmam/hbu022zbMath1352.44004OpenAlexW1993236776MaRDI QIDQ2937681

Michael Schröder

Publication date: 12 January 2015

Published in: The Quarterly Journal of Mechanics and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/qjmam/hbu022

zbMATH Keywords

Laplace transformBrownian motionoption pricingconvolutionsParisian barrier optionsBrownian minimum length excursion law

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Convolution as an integral transform (44A35) Brownian motion (60J65)

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The joint distribution of Parisian and hitting times of Brownian motion with application to Parisian option pricing

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