Double-barrier Parisian options
Dassios, Angelos ; Wu, Shanle
J. Appl. Probab., Tome 48 (2011) no. 1, p. 1-20 / Harvested from Project Euclid
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In this paper we study the excursion time of a Brownian motion with drift outside a corridor by using a four-state semi-Markov model. In mathematical finance, these results have an important application in the valuation of double-barrier Parisian options. We subsequently obtain an explicit expression for the Laplace transform of its price.
Publié le : 2011-03-15
Classification:  Excursion time,  four-state semi-Markov model,  double-barrier Parisian option,  Laplace transform,  91B28,  60J65,  60G44,  60J25 
@article{1300198132,
     author = {Dassios, Angelos and Wu, Shanle},
     title = {Double-barrier Parisian options},
     journal = {J. Appl. Probab.},
     volume = {48},
     number = {1},
     year = {2011},
     pages = { 1-20},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1300198132}
}

Dassios, Angelos; Wu, Shanle. Double-barrier Parisian options. J. Appl. Probab., Tome 48 (2011) no. 1, pp.  1-20. http://gdmltest.u-ga.fr/item/1300198132/