Perturbed Brownian motion and its application to Parisian option pricing
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Publication:650763
DOI10.1007/s00780-009-0113-0zbMath1226.91073OpenAlexW2054092618MaRDI 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
Brownian motion (60J65) Markov renewal processes, semi-Markov processes (60K15) Derivative securities (option pricing, hedging, etc.) (91G20) Continuous-time Markov processes on discrete state spaces (60J27)
Related Items (20)
The joint distribution of Parisian and hitting times of Brownian motion with application to Parisian option pricing ⋮ First hitting time of Brownian motion on simple graph with skew semiaxes ⋮ Pricing American-style Parisian up-and-out call options ⋮ Parisian quasi-stationary distributions for asymmetric Lévy processes ⋮ Parisian ruin probability with a lower ultimate bankrupt barrier ⋮ Asymptotics of Parisian ruin of Brownian motion risk model over an infinite-time horizon ⋮ A general approach for Parisian stopping times under Markov processes ⋮ An efficient algorithm for simulating the drawdown stopping time and the running maximum of a Brownian motion ⋮ BARRIER OPTIONS PRICING WITH JOINT DISTRIBUTION OF GAUSSIAN PROCESS AND ITS MAXIMUM ⋮ Parisian options with jumps: a maturity–excursion randomization approach ⋮ On barrier strategy dividends with Parisian implementation delay for classical surplus processes ⋮ Double-Barrier Parisian Options ⋮ Pricing American-style Parisian down-and-out call options ⋮ Dividend problem with Parisian delay for a spectrally negative Lévy risk process ⋮ Parisian excursion below a fixed level from the last record maximum of Lévy insurance risk process ⋮ Recursive formula for the double-barrier Parisian stopping time ⋮ A temporal approach to the Parisian risk model ⋮ Ruin Probability with Parisian Delay for a Spectrally Negative Lévy Risk Process ⋮ On the first positive and negative excursion exceeding a given length ⋮ Explicit asymptotics on first passage times of diffusion processes
Cites Work
- Double-sided Parisian option pricing
- Excursions in Brownian motion
- Some applications of occupation times of Brownian motion with drift in mathematical finance
- Some formulae for a new type of path-dependent option
- The distribution of the quantile of a Brownian motion with drift and the pricing of related path-dependent options
- PRICING DOUBLE BARRIER PARISIAN OPTIONS USING LAPLACE TRANSFORMS
- Brownian Excursions and Parisian Barrier Options
- Brownian excursions and Parisian barrier options: a note
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