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Brownian motion with drift
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Parisian implementation delay
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single barrier strategy
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surplus process
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Dassios, Angelos
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Wu, Shanle
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Barrier strategies with Parisian delay
Dassios, Angelos
;
Wu, Shanle
-
London School of Economics (LSE)
-
2011
time lag d > 0 between decision and implementation. Using a
Brownian
motion
with
drift
as the surplus process, we obtain …
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