Perturbed Brownian motion and its application to Parisian option pricing
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Finance,Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s00780-009-0113-0.pdf
Reference10 articles.
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2. Anderluh, J.H.M., van der Weide, J.A.M.: Double-sided Parisian option pricing. Finance Stoch. 13, 205–238 (2009)
3. Lecture Notes in Mathematics;J. Azéma,1989
4. Chesney, M., Jeanblanc-Picqué, M., Yor, M.: Brownian excursions and Parisian barrier options. Adv. Appl. Probab. 29, 165–184 (1997)
5. Chung, K.L.: Excursions in Brownian motion. Ark. Math. 14, 155–177 (1976)
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