2003/09/01 by Michael Schröder · 3 citations
Economics, Econometrics and Finance · Social Sciences · #Stochastic processes and financial applications #Capital Investment and Risk Analysis #Insurance, Mortality, Demography, Risk Management
paper · doi:10.1239/jap/1067436086
This paper addresses Paris barrier options, as introduced by G. Kentwell and J. Cornwall at Bankers Trust Australia in the mid-1990s, and their valuation, as developed by Chesnay, Jeanblanc-Picqué and Yor using the Laplace-transform approach. The notion of Paris barrier options is extended so that their valuation becomes possible at any point during their lifespan, and the pertinent Laplace transforms of Chesnay, Jeanblanc-Picqué and Yor are modified when necessary.