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Issue Date | Title | Author(s) |
---|---|---|
28-Mar-2018 | Recursive formula for the double-barrier Parisian stopping time | Dassios, A; Lim, JW |
25-Jan-2017 | An Efficient Algorithm for Simulating the Drawdown Stopping Time and the Running Maximum of a Brownian Motion | Dassios, A; Lim, JW |
15-Aug-2013 | Parisian Option Pricing: A Recursive Solution for the Density of the Parisian Stopping Time | Dassios, A; Lim, JW |
28-Feb-2019 | A variation of the Azéma martingale and drawdown options | Dassios, A; Lim, JW |