On the first positive and negative excursion exceeding a given length

DOI10.1016/J.SPL.2019.03.008zbMath1454.60124OpenAlexW2923820179MaRDI QIDQ2322614

Luisa Testa, Roberta Sirovich

Publication date: 5 September 2019

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2318/1704016

zbMATH Keywords

diffusion processesexcursion theoryParisian pricing

Mathematics Subject Classification ID

Diffusion processes (60J60) Sample path properties (60G17) Derivative securities (option pricing, hedging, etc.) (91G20)

Uses Software

• DLMF
• Algorithm 368

Cites Work

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• A new firing paradigm for integrate and fire stochastic neuronal models
• Perturbed Brownian motion and its application to Parisian option pricing
• New formulae for higher order derivatives and applications
• Exit systems
• Excursions of a Markov process
• Hitting, occupation and inverse local times of one-dimensional diffusions: Martingale and excursion approaches
• A Guided Tour through Excursions
• A decomposition of Bessel Bridges
• Brownian Excursions and Parisian Barrier Options
• Wanderings of a Markov Process
• On the First Passage Time Probability Problem

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