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arxiv: math/0202299 · v1 · pith:TMYRWZ2Vnew · submitted 2002-02-28 · 🧮 math.PR · math.CA· q-fin.PR

Brownian excursions an Parisian barrier options: a note

classification 🧮 math.PR math.CAq-fin.PR
keywords barrieroptionsbrownianlaplacenoteparisvaluationapproach
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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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