Brownian excursions and Parisian barrier options: a note
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Publication:4819501
DOI10.1239/jap/1067436086zbMath1056.60040arXivmath/0202299MaRDI QIDQ4819501
Publication date: 27 September 2004
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0202299
60J65: Brownian motion
91G20: Derivative securities (option pricing, hedging, etc.)
44A10: Laplace transform
60G46: Martingales and classical analysis
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