Brownian excursions an Parisian barrier options: a note
Probability
2016-08-16 v1 Classical Analysis and ODEs
Pricing of Securities
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.
Cite
@article{arxiv.math/0202299,
title = {Brownian excursions an Parisian barrier options: a note},
author = {Michael Schröder},
journal= {arXiv preprint arXiv:math/0202299},
year = {2016}
}
Comments
10 pages