Brownian excursions outside a corridor and two-sided Parisian options

Angelos Dassios and Shanle Wu

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

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.

Keywords: Excursion time; four states Semi-Markov model; double barrier Parisian options; Laplace transform (search for similar items in EconPapers)
JEL-codes: C1 (search for similar items in EconPapers)
Pages: 23 pages
Date: 2011-03
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://eprints.lse.ac.uk/32045/ Open access version. (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:32045

Access Statistics for this paper

More papers in LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library LSE Library Portugal Street London, WC2A 2HD, U.K.. Contact information at EDIRC.
Bibliographic data for series maintained by LSERO Manager ().