2018/03/01 by Angelos Dassios, Jia Wei Lim
Economics, Econometrics and Finance · Decision Sciences · Business, Management and Accounting · #Stochastic processes and financial applications #Probability and Risk Models #Advanced Queuing Theory Analysis
paper · doi:10.1017/jpr.2018.17
Abstract 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.