The joint distribution of Parisian and hitting times of Brownian motion with application to Parisian option pricing
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Publication:309175
DOI10.1007/S00780-016-0302-6zbMATH Open1369.91176OpenAlexW2236438054MaRDI QIDQ309175FDOQ309175
Publication date: 7 September 2016
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: http://eprints.lse.ac.uk/64959/
Recommendations
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Derivative securities (option pricing, hedging, etc.) (91G20) Brownian motion (60J65) Continuous-time Markov processes on discrete state spaces (60J27)
Cites Work
- Title not available (Why is that?)
- Numerical Inversion of Laplace Transforms of Probability Distributions
- Brownian Excursions and Parisian Barrier Options
- Occupation Times of Jump-Diffusion Processes with Double Exponential Jumps and the Pricing of Options
- Excursions in Brownian motion
- On three methods for explicit handling of convolutions as applied to brownian excursions and parisian barrier options
- PRICING PARISIAN-STYLE OPTIONS WITH A LATTICE METHOD
- PRICING DOUBLE BARRIER PARISIAN OPTIONS USING LAPLACE TRANSFORMS
- Excursions height- and length-related stopping times, and application to finance
- Occupation Times, Drawdowns, and Drawups for One-Dimensional Regular Diffusions
- Double-Barrier Parisian Options
- Perturbed Brownian motion and its application to Parisian option pricing
- American Parisian options
- Double-sided Parisian option pricing
Cited In (6)
- A micro-to-macro approach to returns, volumes and waiting times
- Explicit asymptotics on first passage times of diffusion processes
- A general approach for Parisian stopping times under Markov processes
- A temporal approach to the Parisian risk model
- Brownian excursions and Parisian barrier options: a note
- Parisian options with jumps: a maturity–excursion randomization approach
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