The joint distribution of Parisian and hitting times of Brownian motion with 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/s00780-016-0302-6.pdf
Reference22 articles.
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2. Anderluh, J.H.M., van der Weide, J.: Double sided Parisian option pricing. Finance Stoch. 13, 205–238 (2009)
3. Avellaneda, M., Wu, L.: Pricing Parisian-style options with a lattice method. Int. J. Theor. Appl. Finance 2, 1–16 (1999)
4. Bernard, C., Le Courtois, O., Quittard-Pinon, F.: A new procedure for pricing Parisian options. Journal of Derivatives 12(4), 45–53 (2005)
5. Borodin, A.N., Salminen, P.: Handbook of Brownian Motion: Facts and Formulae. Birkhäuser, Basel (2002)
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