Back to Search Start Over

RECURSIVE FORMULA FOR THE DOUBLEBARRIER PARISIAN STOPPING TIME.

Authors :
DASSIOS, ANGELOS
JIA WEI LIM
Source :
Journal of Applied Probability; Mar2018, Vol. 55 Issue 1, p282-301, 20p
Publication Year :
2018

Abstract

In this paper we obtain a recursive formula for the density of the double-barrier Parisian stopping time. We present a probabilistic proof of the formula for the first few steps of the recursion, and then a formal proof using explicit Laplace inversions. These results provide an efficient computational method for pricing double-barrier Parisian options. [ABSTRACT FROM AUTHOR]

Details

Language :
English
ISSN :
00219002
Volume :
55
Issue :
1
Database :
Complementary Index
Journal :
Journal of Applied Probability
Publication Type :
Academic Journal
Accession number :
128802147
Full Text :
https://doi.org/10.1017/jpr.2018.17