Brunel University Research Archive(BURA) preserves and enables easy and open access to all
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Browsing by Author Dassios, A
Showing results 1 to 9 of 9
Issue Date | Title | Author(s) |
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 |
21-May-2020 | Azéma martingales for Bessel and CIR processes and the pricing of Parisian zero-coupon bonds | Dassios, A; Wei Lim, J; Qu, Y |
25-Jan-2017 | An Efficient Algorithm for Simulating the Drawdown Stopping Time and the Running Maximum of a Brownian Motion | Dassios, A; Lim, JW |
Jul-2019 | Exact simulation of generalised Vervaat perpetuities | Wei Lim, J; Dassios, A; Qu, Y |
31-May-2020 | Exact Simulation of Truncated Levy Subordinator | Dassios, A; Lim, JW; Qu, Y |
15-Aug-2013 | Parisian Option Pricing: A Recursive Solution for the Density of the Parisian Stopping Time | Dassios, A; Lim, JW |
28-Mar-2018 | Recursive formula for the double-barrier Parisian stopping time | Dassios, A; Lim, JW |
13-May-2021 | A two-phase dynamic contagion model for COVID-19 | Chen, Z; Dassios, A; Kuan, V; Lim, JW; Qu, Y; Surya, B; Zhao, H |
28-Feb-2019 | A variation of the Azéma martingale and drawdown options | Dassios, A; Lim, JW |