Brownian excursions an Parisian barrier options: a note

Michael Schr\"oder

Papers from arXiv.org

Abstract: This note re-addresses the Paris barrier options proposed by Yor and collaborators and their valuation using the Laplace transform approach. The notion of Paris barrier options, based on excursion theory and using the Brownian meander, is extended such that their valuation is now possible at any point during their lifespan. The pertinent Laplace transforms are modified when necessary.

Date: 2002-02
References: Add references at CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/math/0202299 Latest 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:arx:papers:math/0202299

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().