Parisian times for linear diffusions

DOI10.1090/TPMS/1208MaRDI QIDQ6368788zbMATH OpenFDO

Authors Christophe Profeta

Publication date 28 May 2021

Full work available at URL https://doi.org/10.1090/TPMS/1208

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)

Abstract: We compute the joint distribution of the first times a linear diffusion makes an excursion longer than some given duration above (resp. below) some fixed level. In the literature, such stopping times have been introduced and studied in the framework of emph{Parisian} barrier options, mainly in the case of Brownian motion with drift. We also exhibit several independence properties, and provide some formulae for the associated ruin probabilities.

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