The joint distribution of Parisian and hitting times of Brownian motion with application to Parisian option pricing

DOI10.1007/s00780-016-0302-6zbMath1369.91176OpenAlexW2236438054MaRDI QIDQ309175

You You Zhang, Angelos Dassios

Publication date: 7 September 2016

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: http://eprints.lse.ac.uk/64959/

zbMATH Keywords

Laplace transformexcursion timeParisian optionsthree-state semi-Markov model

Mathematics Subject Classification ID

Brownian motion (60J65) Derivative securities (option pricing, hedging, etc.) (91G20) Continuous-time Markov processes on discrete state spaces (60J27)

Related Items (4)

A general approach for Parisian stopping times under Markov processes ⋮ Parisian options with jumps: a maturity–excursion randomization approach ⋮ A temporal approach to the Parisian risk model ⋮ Explicit asymptotics on first passage times of diffusion processes

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