Brownian excursions and Parisian barrier options: a note

DOI10.1239/jap/1067436086zbMath1056.60040arXivmath/0202299MaRDI QIDQ4819501

Michael Schröder

Publication date: 27 September 2004

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0202299

zbMATH Keywords

Laplace transform; Brownian excursions; Brownian meander; barrier options

Mathematics Subject Classification ID

60J65: Brownian motion

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

44A10: Laplace transform

60G46: Martingales and classical analysis

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Cites Work

• Brownian Excursions and Parisian Barrier Options
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