An analytical solution for the two-sided Parisian stopping time, its asymptotics, and the pricing of Parisian options
Angelos Dassios and Jia Wei Lim
| Year of publication: |
April 2017
|
|---|---|
| Authors: | Dassios, Angelos ; Lim, Jia Wei |
| Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 27.2017, 2, p. 604-620
|
| Subject: | Brownian excursion | double-sided Parisian options | tail asymptotics | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/mafi.12091 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011752549