Browsing by Subject Brownian excursion,
Showing results 1 to 2 of 2
Issue Date | Title | Author(s) |
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16-Jun-2015 | An analytical solution for the two-sided Parisian stopping time, its asymptotics, and the pricing of Parisian options | Dassios, A; Lim, JW |
15-Aug-2013 | Parisian Option Pricing: A Recursive Solution for the Density of the Parisian Stopping Time | Dassios, A; Lim, JW |