Perturbed Brownian motion and its application to Parisian option pricing
| Year of publication: |
2010
|
|---|---|
| Authors: | Dassios, Angelos ; Wu, Shanle |
| Published in: |
Finance and Stochastics. - Springer. - Vol. 14.2010, 3, p. 473-494
|
| Publisher: |
Springer |
| Subject: | Excursion time | Two-state semi-Markov model | Path-dependent options | Parisian options | Laplace transform |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10008456131