Please use this identifier to cite or link to this item:
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 |
Items in BURA are protected by copyright, with all rights reserved, unless otherwise indicated.