Recursive formula for the double-barrier Parisian stopping time
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DOI: 10.1017/jpr.2018.17
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… read more here.
Keywords: double barrier; parisian stopping; stopping time; barrier parisian ... See more keywords