Double-Barrier Parisian Options

DOI10.1239/jap/1300198132zbMath1208.91143OpenAlexW2017180654MaRDI QIDQ5391078

Angelos Dassios, Shanle Wu

Publication date: 5 April 2011

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

Full work available at URL: https://doi.org/10.1239/jap/1300198132

zbMATH Keywords

Laplace transformexcursion timedouble-barrier Parisian optionfour-state semi-Markov model

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Brownian motion (60J65) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

The joint distribution of Parisian and hitting times of Brownian motion with application to Parisian option pricing ⋮ A general approach for Parisian stopping times under Markov processes ⋮ Parisian options with jumps: a maturity–excursion randomization approach ⋮ On the dual risk model with Parisian implementation delays in dividend payments ⋮ Recursive formula for the double-barrier Parisian stopping time ⋮ A temporal approach to the Parisian risk model

Cites Work

• Perturbed Brownian motion and its application to Parisian option pricing
• Excursions in Brownian motion
• A Guided Tour through Excursions
• 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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