On the first positive and negative excursion exceeding a given length-Reference-Cited by-同舟云学术

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On the first positive and negative excursion exceeding a given length

Published:2019-07 Issue: Volume:150 Page:137-145
ISSN:0167-7152
Container-title:Statistics & Probability Letters
language:en
Short-container-title:Statistics & Probability Letters

Author:

Sirovich Roberta^ORCID,Testa Luisa

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Reference19 articles.

1. Lévy processes;Bertoin,1996

2. Brownian excursions and Parisian barrier options;Chesney;Adv. Appl. Probab.,1997

3. An analytical solution for the two-sided Parisian stopping time, its asymptotics, and the pricing of Parisian options;Dassios;Math. Finance,2017

4. Perturbed brownian motion and its application to Parisian option pricing;Dassios;Finance Stoch.,2010

5. On extensions of a Markov process;Dynkin;Theory Probab. Appl.,1968

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