Excursions height- and length-related stopping times, and application to finance

Advances in Applied Probability

Volumn 34, Issue 4, 2002, Pages 846-868

  Gauthier, Laurent ^a  

^a NONE   (United States)

Author keywords

Brownian excursions; Parisian options; Real options

Indexed keywords

DECISION THEORY; INVESTMENTS; LAPLACE TRANSFORMS; MARKOV PROCESSES;

PARISIAN OPTIONS;

BROWNIAN MOVEMENT;

EID: 0036955218     PISSN: 00018678     EISSN: None     Source Type: Journal    
DOI: 10.1239/aap/1037990956     Document Type: Article

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