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BROWNIAN EXCURSIONS AND PARISIAN BARRIER OPTIONS: A NOTE.
- Source :
- Journal of Applied Probability; Dec2003, Vol. 40 Issue 4, p855-864, 10p
- Publication Year :
- 2003
-
Abstract
- This paper addresses Paris barrier options, as introduced by G. Kentwell and J. Cornwall at Bankers Trust Australia in the mid-1990s, and their valuation, as developed by Chesnay, Jeanblanc-Picqué and Yor using the Laplace-transform approach. The notion of Paris barrier options is extended so that their valuation becomes possible at any point during their lifespan, and the pertinent Laplace transforms of Chesnay, Jeanblanc-Picqué and Yor are modified when necessary. [ABSTRACT FROM AUTHOR]
- Subjects :
- VALUATION
BANKING industry
BANKERS
Subjects
Details
- Language :
- English
- ISSN :
- 00219002
- Volume :
- 40
- Issue :
- 4
- Database :
- Complementary Index
- Journal :
- Journal of Applied Probability
- Publication Type :
- Academic Journal
- Accession number :
- 12316129
- Full Text :
- https://doi.org/10.1239/jap/1067436086