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Double-Barrier Parisian Options - MaRDI portal

Double-Barrier Parisian Options (Q5391078)

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scientific article; zbMATH DE number 5874509
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English
Double-Barrier Parisian Options
scientific article; zbMATH DE number 5874509

    Statements

    title
    Double-Barrier Parisian Options (English)
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    author
    Angelos Dassios
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    Shanle Wu
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    publication date
    5 April 2011
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    zbMATH Keywords
    excursion time
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    four-state semi-Markov model
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    double-barrier Parisian option
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    Laplace transform
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    60J65
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    60G44
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    60J25
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    zbMATH DE Number
    5874509
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    OpenAlex ID
    W2017180654
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