Brownian excursions outside a corridor and two-sided Parisian options

Dassios, Angelos

; and Wu, Shanle (2011) Brownian excursions outside a corridor and two-sided Parisian options [Working paper] (Submitted)

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In this paper, we study the excursion time of a Brownian motion with drift outside a corridor by using a four states semi-Markov model. In mathematical finance, these results have an important application in the valuation of double barrier Parisian options. In this paper, we obtain an explicit expression for the Laplace transform of its price.

Item Type	Working paper
Keywords	Excursion time,four states Semi-Markov model,double barrier Parisian options,Laplace transform
Departments	Statistics
Date Deposited	02 Feb 2011 16:35
URI	https://researchonline.lse.ac.uk/id/eprint/32045