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Type | Journal Article |
Scope | Discipline-based scholarship |
Title | Brownian excursions and Parisian barrier options |
Organization Unit | |
Authors |
|
Item Subtype | Original Work |
Refereed | Yes |
Status | Published in final form |
Language |
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Journal Title | Advances in Applied Probability |
Publisher | Cambridge University Press |
Geographical Reach | international |
ISSN | 0001-8678 |
Volume | 29 |
Number | 1 |
Page Range | 165 - 184 |
Date | 1997 |
Abstract Text | In this paper we study a new kind of option, called hereinafter a Parisian barrier option. This option is the following variant of the so-called barrier option: a down-and-out barrier option becomes worthless as soon as a barrier is reached, whereas a down-and-out Parisian barrier option is lost by the owner if the underlying asset reaches a prespecified level and remains constantly below this level for a time interval longer than a fixed number, called the window. Properties of durations of Brownian excursions play an essential role. We also study another kind of option, called here a cumulative Parisian option, which becomes worthless if the total time spent below a certain level is too long. |
Digital Object Identifier | 10.2307/1427865 |
Other Identification Number | merlin-id:13230 |
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Keywords | Brownian excurison, Brownian meander, barrier options |