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Recursive formula for the double-barrier Parisian stopping time
Part of
Angelos Dassios, Jia Wei Lim
Journal:

Journal of Applied Probability / Volume 55 / Issue 1 / March 2018

Published online by Cambridge University Press:

28 March 2018, pp. 282-301

Print publication:

March 2018
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In this paper we obtain a recursive formula for the density of the double-barrier Parisian stopping time. We present a probabilistic proof of the formula for the first few steps of the recursion, and then a formal proof using explicit Laplace inversions. These results provide an efficient computational method for pricing double-barrier Parisian options.

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Recursive formula for the double-barrier Parisian stopping time