Concepedia

Perturbed Brownian motion and its application to Parisian option pricing

Angelos Dassios, Shanle Wu

Finance and Stochastics · 2009 · 57 citations · 7 references

DOI

Concepts

References

7

Brownian Excursions and Parisian Barrier Options

Marc Chesney, Monique Jeanblanc-Picqué, Marc Yor · Advances in Applied Probability · 1997 · 264 citations

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The Distribution of the Quantile of a Brownian Motion with Drift and the Pricing of Related Path-Dependent Options

Angelos Dassios · The Annals of Applied Probability · 1995 · 105 citations · Full text

, , +11

Some Formulae for a New Type of Path-Dependent Option

Jirô Akahori · The Annals of Applied Probability · 1995 · 101 citations · Full text

, , +11

Brownian excursions and Parisian barrier options: a note

Michael Schröder · Journal of Applied Probability · 2003 · 53 citations

, , +15

PRICING DOUBLE BARRIER PARISIAN OPTIONS USING LAPLACE TRANSFORMS

Céline Labart, Jérôme Lelong · International Journal of Theoretical and Applied Finance · 2009 · 30 citations · Full text

, , +13