Perturbed Brownian motion and its application to Parisian option pricing

被引：33

作者：

Dassios, Angelos ^{[1
]}

Wu, Shanle ^{[1
]}

机构：

[1] London Sch Econ, Dept Stat, London WC2A 2AE, England

来源：

FINANCE AND STOCHASTICS | 2010年 / 14卷 / 03期

关键词：

Excursion time; Two-state semi-Markov model; Path-dependent options; Parisian options; Laplace transform; EXCURSIONS;

D O I：

10.1007/s00780-009-0113-0

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In this paper, we study the excursion times of a Brownian motion with drift below and above a given level by using a simple two-state semi-Markov model. In mathematical finance, these results have an important application in the valuation of path-dependent options such as Parisian options. Based on our results, we introduce a new type of Parisian options, single-barrier two-sided Parisian options, and give an explicit expression for the Laplace transform of its price formula.

引用

页码：473 / 494

页数：22

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