Pages that link to "Item:Q650763"

The following pages link to Perturbed Brownian motion and its application to Parisian option pricing (Q650763):

Displaying 23 items.

• The joint distribution of Parisian and hitting times of Brownian motion with application to Parisian option pricing (Q309175) (← links)
• On barrier strategy dividends with Parisian implementation delay for classical surplus processes (Q659119) (← links)
• An efficient algorithm for simulating the drawdown stopping time and the running maximum of a Brownian motion (Q1703026) (← links)
• Pricing American-style Parisian down-and-out call options (Q1735448) (← links)
• Parisian excursion below a fixed level from the last record maximum of Lévy insurance risk process (Q2001232) (← links)
• First hitting time of Brownian motion on simple graph with skew semiaxes (Q2157409) (← links)
• Dividend problem with Parisian delay for a spectrally negative Lévy risk process (Q2247926) (← links)
• On the first positive and negative excursion exceeding a given length (Q2322614) (← links)
• Parisian quasi-stationary distributions for asymmetric Lévy processes (Q2406780) (← links)
• Ruin Probability with Parisian Delay for a Spectrally Negative Lévy Risk Process (Q3108469) (← links)
• Pricing American-style Parisian up-and-out call options (Q4575271) (← links)
• Parisian ruin probability with a lower ultimate bankrupt barrier (Q4576971) (← links)
• Asymptotics of Parisian ruin of Brownian motion risk model over an infinite-time horizon (Q4583618) (← links)
• Parisian options with jumps: a maturity–excursion randomization approach (Q4619530) (← links)
• Recursive formula for the double-barrier Parisian stopping time (Q4684939) (← links)
• A temporal approach to the Parisian risk model (Q4684940) (← links)
• Explicit asymptotics on first passage times of diffusion processes (Q5005031) (← links)
• BARRIER OPTIONS PRICING WITH JOINT DISTRIBUTION OF GAUSSIAN PROCESS AND ITS MAXIMUM (Q5367498) (← links)
• Double-Barrier Parisian Options (Q5391078) (← links)
• A general approach for Parisian stopping times under Markov processes (Q6111010) (← links)
• An analytical solution for the two-sided Parisian stopping time, its asymptotics, and the pricing of Parisian options (Q6497107) (← links)
• A micro-to-macro approach to returns, volumes and waiting times (Q6579670) (← links)
• Parasian over Parisian, how much earlier should one exercise? (Q6649936) (← links)