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Double-barrier Parisian options

By Angelos Dassios and Shanle Wu

Abstract

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

Topics: HA Statistics
Publisher: Applied Probability Trust
Year: 2011
DOI identifier: 10.1239/jap
OAI identifier: oai:eprints.lse.ac.uk:35701
Provided by: LSE Research Online
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