A general approach for Parisian stopping times under Markov processes
Year of publication: |
2023
|
---|---|
Authors: | Zhang, Gongqiu ; Li, Lingfei |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 1432-1122, ZDB-ID 1467022-7. - Vol. 27.2023, 3, p. 769-829
|
Subject: | Grid design | Markov chain approximation | Parisian options | Parisian ruin probability | Parisian stopping time | Wahrscheinlichkeitsrechnung | Probability theory | Optionspreistheorie | Option pricing theory |
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