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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… Click to show full abstract
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.
Keywords:
double barrier;
parisian stopping;
stopping time;
barrier parisian;
recursive formula
Journal Title: Journal of Applied Probability
Year Published: 2018
Link to full text (if available)
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Journal Title: Journal of Applied Probability
Year Published: 2018
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!