Recursive formula for the double barrier Parisian stopping time

Dassios, AngelosORCID logo; and Lim, Jia Wei (2018) Recursive formula for the double barrier Parisian stopping time Journal of Applied Probability, 55 (1). pp. 282-301. ISSN 0021-9002
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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.
Item Type Article
Copyright holders © 2017 The Author
Keywords Brownian excursions, Parisian stopping times, Double-sidedParisian options
Departments Statistics
DOI 10.1017/jpr.2018.17
Date Deposited 20 Nov 2017 09:27
Acceptance Date 2017-11-03
URI https://researchonline.lse.ac.uk/id/eprint/85643

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