Brownian excursions an Parisian barrier options: a note

Details Brownian excursions an Parisian barrier options: a note Brownian excursions an Parisian barrier options: a note

2002-02-28

arxiv.org/abs/math/0202299v1

Mathematics

Probability

10 pages

Scientific paper

This note re-addresses the Paris barrier options proposed by Yor and collaborators and their valuation using the Laplace transform approach. The notion of Paris barrier options, based on excursion theory and using the Brownian meander, is extended such that their valuation is now possible at any point during their lifespan. The pertinent Laplace transforms are modified when necessary.

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