An analytical solution for the two-sided Parisian stopping time, its asymptotics, and the pricing of Parisian options
Year of publication: |
April 2017
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Authors: | Dassios, Angelos ; Lim, Jia Wei |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 27.2017, 2, p. 604-620
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Subject: | Brownian excursion | double-sided Parisian options | tail asymptotics | Optionspreistheorie | Option pricing theory |
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