We compute the joint distribution of the first times a linear diffusion makes an excursion longer than some given duration above (resp. below) some fixed level. In the literature, such stopping times have been introduced and studied in the framework of Parisian barrier options, mainly in the case of Brownian motion with drift. We also exhibit several independence properties, and provide some formulae for the associated ruin probabilities
In this paper, we extend the concept of ruin in risk theory to the Parisian type of ruin. For this t...
Alili LarbiNovikov AlexanderSchweizer MartinYor MarcFrom both theoretical and applied perspectives, ...
We obtain closed-form expressions for the value of the joint Laplace transform of therunning maximum...
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 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 usi...
We study the joint law of Parisian time and hitting time of a drifted Brownian motion by using a thr...
In this paper, we study the excursion time of a Brownian motion with drift inside a corridor by usin...
In this paper, we obtain a recursive formula for the density of the double barrier Parisian stopping...
In this paper we study a new kind of option, called hereinafter a Parisian barrier option. This opti...
In this paper, we study the excursion time of a Brownian motion with drift inside a corridor by usin...
In this paper, we study the excursion time and occupation time of a Markov process below or above a ...
This paper studies drawdown and drawup processes in a general diffusion model. The main result is a ...
We evaluate some boundary-crossing time density functions for time-changed Brownian motion. As examp...
In this work we study drawdowns and drawups of general diffusion processes. The drawdown process is ...
In this paper, we extend the concept of ruin in risk theory to the Parisian type of ruin. For this t...
Alili LarbiNovikov AlexanderSchweizer MartinYor MarcFrom both theoretical and applied perspectives, ...
We obtain closed-form expressions for the value of the joint Laplace transform of therunning maximum...
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 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 usi...
We study the joint law of Parisian time and hitting time of a drifted Brownian motion by using a thr...
In this paper, we study the excursion time of a Brownian motion with drift inside a corridor by usin...
In this paper, we obtain a recursive formula for the density of the double barrier Parisian stopping...
In this paper we study a new kind of option, called hereinafter a Parisian barrier option. This opti...
In this paper, we study the excursion time of a Brownian motion with drift inside a corridor by usin...
In this paper, we study the excursion time and occupation time of a Markov process below or above a ...
This paper studies drawdown and drawup processes in a general diffusion model. The main result is a ...
We evaluate some boundary-crossing time density functions for time-changed Brownian motion. As examp...
In this work we study drawdowns and drawups of general diffusion processes. The drawdown process is ...
In this paper, we extend the concept of ruin in risk theory to the Parisian type of ruin. For this t...
Alili LarbiNovikov AlexanderSchweizer MartinYor MarcFrom both theoretical and applied perspectives, ...
We obtain closed-form expressions for the value of the joint Laplace transform of therunning maximum...