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Contribution Details

Type Journal Article
Scope Discipline-based scholarship
Title Brownian excursions and Parisian barrier options
Organization Unit
Authors
  • Marc Chesney
  • Monique Jeanblanc-Picqué
  • Marc Yor
Item Subtype Original Work
Refereed Yes
Status Published in final form
Language
  • English
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