Perturbed Brownian motion and its application to Parisian option pricing
type: Item
instance of: scholarly article
title: Perturbed Brownian motion and its application to Parisian option pricing
zbMATH Open document ID: 1226.91073
author: Angelos Dassios
author: Shanle Wu
published in: Finance and Stochastics
publication date: 2011-11-27T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60J65
Mathematics Subject Classification ID: 60K15
Mathematics Subject Classification ID: 60J27
zbMATH DE Number: 5981319
MaRDI profile type: Publication
full work available at URL: s00780-009-0113-0
OpenAlex ID: W2054092618
cites work: Some formulae for a new type of path-dependent option
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cites work: Q3975569
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cites work: Excursions in Brownian motion
cites work: The distribution of the quantile of a Brownian motion with drift and the pricing of related path-dependent options
cites work: PRICING DOUBLE BARRIER PARISIAN OPTIONS USING LAPLACE TRANSFORMS
cites work: Some applications of occupation times of Brownian motion with drift in mathematical finance
cites work: Q4226355
cites work: Brownian excursions and Parisian barrier options: a note
DOI: 10.1007/S00780-009-0113-0
description: scientific article; zbMATH DE number 5981319