Double-Barrier Parisian Options
2011 ◽
Vol 48
(1)
◽
pp. 1-20
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Keyword(s):
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.
2011 ◽
Vol 48
(01)
◽
pp. 1-20
◽
2020 ◽
2001 ◽
Vol 33
(1)
◽
pp. 223-241
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2009 ◽
Vol 46
(2)
◽
pp. 593-600
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2015 ◽
Vol 52
(1)
◽
pp. 191-208
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2003 ◽
Vol 35
(1)
◽
pp. 159-183
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2013 ◽
Vol 50
(1)
◽
pp. 295-299
◽