Brownian excursions and Parisian barrier options: a note

DOI10.1239/jap/1067436086zbMath1056.60040arXivmath/0202299OpenAlexW2149583263MaRDI QIDQ4819501

Michael Schröder

Publication date: 27 September 2004

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0202299

zbMATH Keywords

Laplace transformBrownian excursionsBrownian meanderbarrier options

Mathematics Subject Classification ID

Brownian motion (60J65) Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10) Martingales and classical analysis (60G46)

Related Items (15)

Fast Laplace transform methods for the PDE system of Parisian and Parasian option pricing ⋮ Pricing American-style Parisian up-and-out call options ⋮ On the time value of Parisian ruin in (dual) renewal risk processes with exponential jumps ⋮ Parisian options with jumps: a maturity–excursion randomization approach ⋮ Perturbed Brownian motion and its application to Parisian option pricing ⋮ Double-Barrier Parisian Options ⋮ On the dual risk model with Parisian implementation delays in dividend payments ⋮ Double-sided Parisian option pricing ⋮ An improved combinatorial approach for pricing Parisian options ⋮ Conformal accelerations method and efficient evaluation of stable distributions ⋮ Recursive formula for the double-barrier Parisian stopping time ⋮ PRICING DOUBLE BARRIER PARISIAN OPTIONS USING LAPLACE TRANSFORMS ⋮ Guiding the guiders: Foundations of a market-driven theory of disclosure ⋮ On three methods for analytic Laplace inversion in the framework of Brownian motion and their excursions ⋮ Entry and Exit Decision Problem with Implementation Delay

Cites Work

• Brownian Excursions and Parisian Barrier Options
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