Double-sided Parisian option pricing

DOI10.1007/s00780-009-0090-3zbMath1199.91199OpenAlexW1970777372MaRDI QIDQ964673

J. A. M. van der Weide, J. H. M. Anderluh

Publication date: 22 April 2010

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

Full work available at URL: https://doi.org/10.1007/s00780-009-0090-3

zbMATH Keywords

excursionsParisian optionsFourier inversion

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Optimal stopping in statistics (62L15)

Related Items (4)

The joint distribution of Parisian and hitting times of Brownian motion with application to Parisian option pricing ⋮ Parisian options with jumps: a maturity–excursion randomization approach ⋮ Perturbed Brownian motion and its application to Parisian option pricing ⋮ Recursive formula for the double-barrier Parisian stopping time

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• Brownian excursions and Parisian barrier options: a note
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• NUMERICAL TRANSFORM INVERSION USING GAUSSIAN QUADRATURE
• Arbitrage Theory in Continuous Time

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