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http://bura.brunel.ac.uk/handle/2438/18871| Title: | An analytical solution for the two-sided Parisian stopping time, its asymptotics, and the pricing of Parisian options |
| Authors: | Dassios, A Lim, JW |
| Keywords: | Brownian excursion,;double-sided Parisian options,;tail asymptotics |
| Issue Date: | 16-Jun-2015 |
| Publisher: | Wiley |
| Citation: | Mathematical Finance, 2017, 27 (2), pp. 604 - 620 |
| URI: | https://bura.brunel.ac.uk/handle/2438/18871 |
| DOI: | https://doi.org/10.1111/mafi.12091 |
| ISSN: | 0960-1627 |
| Appears in Collections: | Dept of Mathematics Research Papers |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| FullText.pdf | 315.62 kB | Adobe PDF | View/Open |
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