Double-barrier Parisian options
Dassios, A.
& Wu, S.
(2011).
Double-barrier Parisian options.
Journal of Applied Probability,
48(1), 1-20.
https://doi.org/10.1239/jap/1300198132
& Wu, S.
(2011).
Double-barrier Parisian options.
Journal of Applied Probability,
48(1), 1-20.
https://doi.org/10.1239/jap/1300198132
In this paper we study the excursion time of a Brownian motion with drift outside a corridor by using a four-state semi-Markov model. In mathematical finance, these results have an important application in the valuation of double-barrier Parisian options. We subsequently obtain an explicit expression for the Laplace transform of its price.