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Brownian excursions and Parisian barrier options: a note

Part of: Stochastic processes

Published online by Cambridge University Press:  14 July 2016

Michael Schröder
Michael Schröder*
Affiliation:
Universität Mannheim
*
∗Postal address: Keplerstrasse 30, D-69469 Weinheim (Bergstrasse), Germany. Email address: [email protected]
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Abstract

This paper addresses Paris barrier options, as introduced by G. Kentwell and J. Cornwall at Bankers Trust Australia in the mid-1990s, and their valuation, as developed by Chesnay, Jeanblanc-Picqué and Yor using the Laplace-transform approach. The notion of Paris barrier options is extended so that their valuation becomes possible at any point during their lifespan, and the pertinent Laplace transforms of Chesnay, Jeanblanc-Picqué and Yor are modified when necessary.

Keywords

Brownian excursionsBrownian meanderbarrier optionsLaplace transform

MSC classification

Primary: 60G46: Martingales and classical analysis
Type
Research Papers
Information
Journal of Applied Probability , Volume 40 , Issue 4 , September 2003 , pp. 855 - 864
Copyright
Copyright © Applied Probability Trust 2003 

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References

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