On three methods for explicit handling of convolutions as applied to brownian excursions and parisian barrier options
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Publication:2937681
DOI10.1093/qjmam/hbu022zbMath1352.44004OpenAlexW1993236776MaRDI QIDQ2937681
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
Laplace transformBrownian motionoption pricingconvolutionsParisian barrier optionsBrownian minimum length excursion law
Numerical methods (including Monte Carlo methods) (91G60) Convolution as an integral transform (44A35) Brownian motion (60J65)
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