An analytical solution for the two-sided Parisian stopping time, its asymptotics, and the pricing of Parisian options

DOI10.1111/MAFI.12091MaRDI QIDQ6497107

Angelos Dassios, Jia Wei Lim

Publication date: 6 May 2024

Published in: Mathematical Finance (Search for Journal in Brave)

zbMATH Keywords

Brownian excursiontail asymptoticsdouble-sided Parisian options

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91Gxx)

Cites Work

• Unnamed Item
• Perturbed Brownian motion and its application to Parisian option pricing
• Double-sided Parisian option pricing
• A combinatorial approach for pricing Parisian options.
• Parisian Option Pricing: A Recursive Solution for the Density of the Parisian Stopping Time
• Brownian Excursions and Parisian Barrier Options
• Brownian excursions and Parisian barrier options: a note
• Double-Barrier Parisian Options

This page was built for publication: An analytical solution for the two-sided Parisian stopping time, its asymptotics, and the pricing of Parisian options