Pricing of Parisian Options for a Jump-Diffusion Model with Two-Sided Jumps
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Publication:5363115
DOI10.1080/1350486X.2011.599976zbMath1372.91100MaRDI QIDQ5363115
Dominik Kortschak, Xiao-Wen Zhou, Hansjoerg Albrecher
Publication date: 5 October 2017
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/1350486x.2011.599976
Laplace transform; jump-diffusion model; Parisian options; one-sided exit problem; double-exponential model
91G20: Derivative securities (option pricing, hedging, etc.)
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