In this paper, we obtain a recursive formula for the density of the double barrier Parisian stopping time. We present a probabilistic proof of the formula for the first few steps of the recursion, and then a formal proof using explicit Laplace inversions. These results provide an efficient computational method for pricing double barrier Parisian options
In this paper we address the pricing of double barrier options. To derive the density function of th...
In this paper, we study the Parisian time of a reflected Brownian motion with drift on a finite coll...
In this paper we study a new kind of option, called hereinafter a Parisian barrier option. This opti...
In this paper, we obtain a recursive formula for the density of the double barrier Parisian stopping...
In this paper, we obtain the density function of the single barrier one-sided Parisian stopping time...
In this paper, we obtain the density function of the single barrier one-sided Parisian stopping time...
In this paper, we obtain a recursive formula for the density of the two-sided Parisian stopping time...
International audienceIn this article, we study a double barrier version of the standard Parisian op...
In this paper, we study the excursion time of a Brownian motion with drift outside a corridor by usi...
We study the joint law of Parisian time and hitting time of a drifted Brownian motion by using a thr...
We compute the joint distribution of the first times a linear diffusion makes an excursion longer th...
In this paper we study the excursion time of a Brownian motion with drift outside a corridor by usin...
In this paper, we study the excursion time of a Brownian motion with drift inside a corridor by usin...
In this paper, we apply the single barrier strategy to optimize the dividend payment in the situatio...
AbstractThis paper studies a new type of barrier options where a regular barrier option comes into e...
In this paper we address the pricing of double barrier options. To derive the density function of th...
In this paper, we study the Parisian time of a reflected Brownian motion with drift on a finite coll...
In this paper we study a new kind of option, called hereinafter a Parisian barrier option. This opti...
In this paper, we obtain a recursive formula for the density of the double barrier Parisian stopping...
In this paper, we obtain the density function of the single barrier one-sided Parisian stopping time...
In this paper, we obtain the density function of the single barrier one-sided Parisian stopping time...
In this paper, we obtain a recursive formula for the density of the two-sided Parisian stopping time...
International audienceIn this article, we study a double barrier version of the standard Parisian op...
In this paper, we study the excursion time of a Brownian motion with drift outside a corridor by usi...
We study the joint law of Parisian time and hitting time of a drifted Brownian motion by using a thr...
We compute the joint distribution of the first times a linear diffusion makes an excursion longer th...
In this paper we study the excursion time of a Brownian motion with drift outside a corridor by usin...
In this paper, we study the excursion time of a Brownian motion with drift inside a corridor by usin...
In this paper, we apply the single barrier strategy to optimize the dividend payment in the situatio...
AbstractThis paper studies a new type of barrier options where a regular barrier option comes into e...
In this paper we address the pricing of double barrier options. To derive the density function of th...
In this paper, we study the Parisian time of a reflected Brownian motion with drift on a finite coll...
In this paper we study a new kind of option, called hereinafter a Parisian barrier option. This opti...
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