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An Analytical Solution For The Two-Sided Parisian Stopping Time, Its Asymptotics, And The Pricing Of Parisian Options

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  • Angelos Dassios
  • Jia Wei Lim

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  • Angelos Dassios & Jia Wei Lim, 2017. "An Analytical Solution For The Two-Sided Parisian Stopping Time, Its Asymptotics, And The Pricing Of Parisian Options," Mathematical Finance, Wiley Blackwell, vol. 27(2), pages 604-620, April.
    • Handle: RePEc:bla:mathfi:v:27:y:2017:i:2:p:604-620
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    File URL: http://hdl.handle.net/10.1111/mafi.2017.27.issue-2
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    Cited by:

    1. Gongqiu Zhang & Lingfei Li, 2021. "A General Approach for Parisian Stopping Times under Markov Processes," Papers 2107.06605, arXiv.org.
    2. Sirovich, Roberta & Testa, Luisa, 2019. "On the first positive and negative excursion exceeding a given length," Statistics & Probability Letters, Elsevier, vol. 150(C), pages 137-145.
    3. Gongqiu Zhang & Lingfei Li, 2023. "A general approach for Parisian stopping times under Markov processes," Finance and Stochastics, Springer, vol. 27(3), pages 769-829, July.

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