The joint distribution of Parisian and hitting times of Brownian motion with application to Parisian option pricing (Q309175)
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scientific article; zbMATH DE number 6624318
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The joint distribution of Parisian and hitting times of Brownian motion with application to Parisian option pricing |
scientific article; zbMATH DE number 6624318 |
Statements
The joint distribution of Parisian and hitting times of Brownian motion with application to Parisian option pricing (English)
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7 September 2016
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Parisian options
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excursion time
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three-state semi-Markov model
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Laplace transform
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