Perturbed Brownian motion and its application to Parisian option pricing
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Publication:650763
DOI10.1007/s00780-009-0113-0zbMath1226.91073MaRDI QIDQ650763
Publication date: 27 November 2011
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-009-0113-0
60J65: Brownian motion
60K15: Markov renewal processes, semi-Markov processes
91G20: Derivative securities (option pricing, hedging, etc.)
60J27: Continuous-time Markov processes on discrete state spaces
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