Recursive formula for the double barrier Parisian stopping time
Dassios, A.
& Lim, J. W.
(2018).
Recursive formula for the double barrier Parisian stopping time.
Journal of Applied Probability,
55(1), 282-301.
https://doi.org/10.1017/jpr.2018.17
& Lim, J. W.
(2018).
Recursive formula for the double barrier Parisian stopping time.
Journal of Applied Probability,
55(1), 282-301.
https://doi.org/10.1017/jpr.2018.17
In this paper, we obtain a recursive formula for the density of the double barrier Parisian stopping time. We present a probabilistic proof of the formula for the first few steps of the recursion, and then a formal proof using explicit Laplace inversions. These results provide an efficient computational method for pricing double barrier Parisian options.