Add to ORKGThis paper adresses the valuation of the Paris barrier options proposed by Yor, Jeanblanc-Picque, and Chesnay (Advances in Applied Probability, 29(1997), 165-184) using the Laplace transform approach. Based on suggestions by Pliska the notion of Paris options is extended such that their valuation is possible at any point during their lifespan. The Laplace transforms derived by Yor et al. are modified when necessary, and their basic analytic properties are discussed
In this paper we study a new kind of option, called hereinafter a Parisian barrier option. This opti...
We study the pricing of a Parisian option under a stochastic volatility model. Based on the manipula...
We study the joint law of Parisian time and hitting time of a drifted Brownian motion by using a thr...
This paper adresses the valuation of the Paris barrier options proposed by Yor, Jeanblanc-Picque, an...
International audienceIn this article, we study a double barrier version of the standard Parisian op...
In this paper, two exact and analytic solutions for the valuation of European-style Parisian and Par...
Abstract. In this work, we propose to price Parisian options using Laplace transforms. Not only do w...
International audienceIn this work, we propose to price Parisian options using Laplace transforms. N...
Barrier options are the most common path-dependent options traded in financial markets. They are par...
This article addresses some of the valuation problems, in the Black and Scholes setting of a geometr...
In this paper, a new technique for pricing of European and American Parisian options, that we call t...
In this paper, we study the excursion times of a Brownian motion with drift below and above a given ...
In this paper we study the excursion time of a Brownian motion with drift outside a corridor by usin...
This paper introduces an analytically tractable method for the pricing of European and American Pari...
In this paper, we obtain the density function of the single barrier one-sided Parisian stopping time...
In this paper we study a new kind of option, called hereinafter a Parisian barrier option. This opti...
We study the pricing of a Parisian option under a stochastic volatility model. Based on the manipula...
We study the joint law of Parisian time and hitting time of a drifted Brownian motion by using a thr...
This paper adresses the valuation of the Paris barrier options proposed by Yor, Jeanblanc-Picque, an...
International audienceIn this article, we study a double barrier version of the standard Parisian op...
In this paper, two exact and analytic solutions for the valuation of European-style Parisian and Par...
Abstract. In this work, we propose to price Parisian options using Laplace transforms. Not only do w...
International audienceIn this work, we propose to price Parisian options using Laplace transforms. N...
Barrier options are the most common path-dependent options traded in financial markets. They are par...
This article addresses some of the valuation problems, in the Black and Scholes setting of a geometr...
In this paper, a new technique for pricing of European and American Parisian options, that we call t...
In this paper, we study the excursion times of a Brownian motion with drift below and above a given ...
In this paper we study the excursion time of a Brownian motion with drift outside a corridor by usin...
This paper introduces an analytically tractable method for the pricing of European and American Pari...
In this paper, we obtain the density function of the single barrier one-sided Parisian stopping time...
In this paper we study a new kind of option, called hereinafter a Parisian barrier option. This opti...
We study the pricing of a Parisian option under a stochastic volatility model. Based on the manipula...
We study the joint law of Parisian time and hitting time of a drifted Brownian motion by using a thr...