Brownian excursions and parisian barrier options

Advances in Applied Probability

Volumn 29, Issue 1, 1997, Pages 165-184

  Chesney, Marc ^a   Jeanblanc Picqué, Monique ^b   Yor, Marc ^c,d  

^a HEC PARIS   (France)

^b UNIVERSITÉ D EVRY VAL D ESSONNE   (France)

^c SORBONNE UNIVERSITÉ   (France)

^d University of Paris VII LPSM partially supported by ERC Starting Grant 680275 MALIG   (France)

Author keywords

Barrier options; Brownian excursion; Brownian meander

Indexed keywords

EID: 0001736071     PISSN: 00018678     EISSN: None     Source Type: Journal    
DOI: 10.1017/S000186780002783X     Document Type: Article

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