Parisian option pricing: a recursive solution for the density of the Parisian stopping time
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Publication:2873142
Brownian motionprobability density functionVolterra equationParisian optionprice of a Parisian down-and-in call
Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Numerical methods (including Monte Carlo methods) (91G60) Brownian motion (60J65) Diffusion processes and stochastic analysis on manifolds (58J65)
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