Albrecher, Hansjörg; Kortschak, Dominik; Zhou, Xiaowen - In: Applied Mathematical Finance 19 (2012) 2, pp. 97-129
Using the solution of one-sided exit problem, a procedure to price Parisian barrier options in a jump-diffusion model with two-sided exponential jumps is developed. By extending the method developed in Chesney, Jeanblanc-Picqué and Yor (1997; Brownian excursions and Parisian barrier options,...</italic>
