Double-barrier Parisian options

Dassios, Angelos

; and Wu, Shanle Double-barrier Parisian options Journal of Applied Probability, 48 (1). pp. 1-20. ISSN 0021-9002

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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-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.

Item Type	Article
Departments	Statistics
DOI	10.1239/jap/1300198132
Date Deposited	18 Apr 2011 09:25
URI	https://researchonline.lse.ac.uk/id/eprint/35701

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