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http://bura.brunel.ac.uk/handle/2438/18759| Title: | Recursive formula for the double-barrier Parisian stopping time |
| Authors: | Dassios, A Lim, JW |
| Keywords: | Brownian excursions,;Parisian stopping times,;Double-sided Parisian options |
| Issue Date: | 28-Mar-2018 |
| Publisher: | Cambridge University Press |
| Citation: | Journal of Applied Probability, 2018, 55 (1), pp. 282 - 301 |
| URI: | http://bura.brunel.ac.uk/handle/2438/18759 |
| DOI: | http://dx.doi.org/10.1017/jpr.2018.17 |
| ISSN: | 0021-9002 http://dx.doi.org/10.1017/jpr.2018.17 |
| Appears in Collections: | Mathematical Sciences |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| FullText.pdf | 407.36 kB | Adobe PDF | View/Open |
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