Parisian options - The implied barrier concept

Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)

Volumn 3039, Issue , 2004, Pages 851-858

  Anderluh, Jasper ^a   Van Der Weide, Hans ^a  

^a DELFT UNIVERSITY OF TECHNOLOGY   (Netherlands)

Author keywords

[No Author keywords available]

Indexed keywords

COMMERCE; COMPUTATION THEORY;

BARRIER METHOD; BROWNIAN EXCURSION; CONVERTIBLE BONDS; EXOTIC OPTION; OPTION PRICE; STRUCTURED PRODUCT; USE CONCEPT;

FINANCIAL MARKETS;

EID: 33845774477     PISSN: 03029743     EISSN: 16113349     Source Type: Book Series    
DOI: 10.1007/978-3-540-25944-2_110     Document Type: Short Survey

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3. K. L. Chung Excursions in Brownian Motion, Ark. Math. 14, 155-177, (1997)
4. R. T. Durrett, D. L. Iglehart Functional of Brownian Meander and Brownian Excursions, Ann. Probability 5, 130-135, (1977)
5. A. Grau Moving Windows, master thesis at School of Computer Science, University of Waterloo, Canada (2003)
6. R. J. Haber, P.J. Schönbucher, P. Wilmott An American in Paris, OFRC Working Papers Series 1999-MF-14, 24-29, (1999)