IDEAS home Printed from https://ideas.repec.org/p/ehl/lserod/32045.html
   My bibliography  Save this paper

Brownian excursions outside a corridor and two-sided Parisian options

Author

Listed:
  • Dassios, Angelos
  • Wu, Shanle

Abstract

In this paper, we study the excursion time of a Brownian motion with drift outside a corridor by using a four states semi-Markov model. In mathematical finance, these results have an important application in the valuation of double barrier Parisian options. In this paper, we obtain an explicit expression for the Laplace transform of its price.

Suggested Citation

  • Dassios, Angelos & Wu, Shanle, 2011. "Brownian excursions outside a corridor and two-sided Parisian options," LSE Research Online Documents on Economics 32045, London School of Economics and Political Science, LSE Library.
    • Handle: RePEc:ehl:lserod:32045
    as

    Download full text from publisher

    File URL: http://eprints.lse.ac.uk/32045/
    File Function: Open access version.
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Excursion time; four states Semi-Markov model; double barrier Parisian options; Laplace transform;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ehl:lserod:32045. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: LSERO Manager (email available below). General contact details of provider: https://edirc.repec.org/data/lsepsuk.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.