Title of article :
Brownian excursions and Parisian barrier options: a note
Author/Authors :
Schroder، Michael نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2003
Abstract :
This paper addresses Paris barrier options, as introduced by G. Kentwell and J. Cornwall at Bankers Trust Australia in the mid-1990s, and their valuation, as developed by Chesnay, Jeanblanc-Picque and Yor using the Laplace-transform approach. The notion of Paris barrier options is extended so that their valuation becomes possible at any point during their lifespan, and the pertinent Laplace transforms of Chesnay, Jeanblanc-Picque and Yor are modified when necessary.
Keywords :
Brownian meander , Brownian excursions , Laplace transform , barrier options
Journal title :
JOURNAL OF APPLIED PROBABILITY
Journal title :
JOURNAL OF APPLIED PROBABILITY