Brownian excursions and Parisian barrier options: a note
2003 ◽
Vol 40
(4)
◽
pp. 855-864
◽
This paper addresses Paris barrier options, as introduced by G. Kentwell and J. Cornwall at Bankers Trust Australia in the mid-1990s, and their valuation, as developed by Chesnay, Jeanblanc-Picqué and Yor using the Laplace-transform approach. The notion of Paris barrier options is extended so that their valuation becomes possible at any point during their lifespan, and the pertinent Laplace transforms of Chesnay, Jeanblanc-Picqué and Yor are modified when necessary.
2003 ◽
Vol 40
(04)
◽
pp. 855-864
◽
2003 ◽
Vol 40
(1)
◽
pp. 180-199
◽
2005 ◽
Vol 20
(1)
◽
pp. 1-44
◽
1997 ◽
Vol 34
(02)
◽
pp. 395-403
◽
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