Dassios, Angelos; Zhang, Junyi - In: Risks : open access journal 8 (2020) 4/127, pp. 1-14
In this paper, we study the Parisian time of a reflected Brownian motion with drift on a finite collection of rays. We derive the Laplace transform of the Parisian time using a recursive method, and provide an exact simulation algorithm to sample from the distribution of the Parisian time. The...