Abstract
In this paper we study the excursion time of a Brownian motion with drift outside a corridor by using a four-state semi-Markov model. In mathematical finance, these results have an important application in the valuation of double-barrier Parisian options. We subsequently obtain an explicit expression for the Laplace transform of its price.
Citation
Angelos Dassios. Shanle Wu. "Double-barrier Parisian options." J. Appl. Probab. 48 (1) 1 - 20, March 2011. https://doi.org/10.1239/jap/1300198132
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