Brunel University Research Archive(BURA) preserves and enables easy and open access to all
types of digital content. It showcases Brunel's research outputs.
Research contained within BURA is open access, although some publications may be subject
to publisher imposed embargoes. All awarded PhD theses are also archived on BURA.
Please use this identifier to cite or link to this item:
http://bura.brunel.ac.uk/handle/2438/18871Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Dassios, A | - |
| dc.contributor.author | Lim, JW | - |
| dc.date.accessioned | 2019-07-29T08:46:44Z | - |
| dc.date.available | 2017-04 | - |
| dc.date.available | 2019-07-29T08:46:44Z | - |
| dc.date.issued | 2015-06-16 | - |
| dc.identifier.citation | Mathematical Finance, 2017, 27 (2), pp. 604 - 620 | en_US |
| dc.identifier.issn | 0960-1627 | - |
| dc.identifier.uri | https://bura.brunel.ac.uk/handle/2438/18871 | - |
| dc.format.extent | 604 - 620 | - |
| dc.language | en | - |
| dc.language.iso | en | en_US |
| dc.publisher | Wiley | en_US |
| dc.subject | Brownian excursion, | en_US |
| dc.subject | double-sided Parisian options, | en_US |
| dc.subject | tail asymptotics | en_US |
| dc.title | An analytical solution for the two-sided Parisian stopping time, its asymptotics, and the pricing of Parisian options | en_US |
| dc.type | Article | en_US |
| dc.identifier.doi | https://doi.org/10.1111/mafi.12091 | - |
| dc.relation.isPartOf | Mathematical Finance | - |
| pubs.issue | 2 | - |
| pubs.publication-status | Published | - |
| pubs.volume | 27 | - |
| 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.