Brownian Excursions and Parisian Barrier Options
1997 ◽
Vol 29
(01)
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pp. 165-184
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Keyword(s):
In this paper we study a new kind of option, called hereinafter a Parisian barrier option. This option is the following variant of the so-called barrier option: a down-and-out barrier option becomes worthless as soon as a barrier is reached, whereas a down-and-out Parisian barrier option is lost by the owner if the underlying asset reaches a prespecified level and remains constantly below this level for a time interval longer than a fixed number, called the window. Properties of durations of Brownian excursions play an essential role. We also study another kind of option, called here a cumulative Parisian option, which becomes worthless if the total time spent below a certain level is too long.
1997 ◽
Vol 29
(1)
◽
pp. 165-184
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Keyword(s):
2017 ◽
Vol 20
(06)
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pp. 1750042
Keyword(s):
Keyword(s):
2009 ◽
Vol 12
(07)
◽
pp. 1055-1073
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Keyword(s):
Keyword(s):
2011 ◽
Vol 14
(07)
◽
pp. 1091-1111
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2014 ◽
Vol 01
(01)
◽
pp. 1450009
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Keyword(s):
2014 ◽
Vol 24
(2)
◽
pp. 429-442
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Keyword(s):
Keyword(s):