publication . Other literature type . Report . Article . 2016

Brownian Excursions and Parisian Barrier Options

Marc Chesney; Monique Jeanblanc-Picqué; Marc Yor;
  • Published: 01 Jul 2016
  • Publisher: Cambridge University Press (CUP)
Abstract
<jats:p>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...
Subjects
free text keywords: Brownian Excursions, Parisian Barrier Option, [SHS.ECO.ECO]Humanities and Social Sciences/Economics and Finance/domain_shs.eco.eco, [ SHS.ECO.ECO ] Humanities and Social Sciences/Economies and finances/domain_shs.eco.eco, Actuarial science, Barrier option, Brownian motion, Mathematics
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publication . Other literature type . Report . Article . 2016

Brownian Excursions and Parisian Barrier Options

Marc Chesney; Monique Jeanblanc-Picqué; Marc Yor;