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The joint distribution of Parisian and hitting times of Brownian motion with application to Parisian option pricing.

Angelos DassiosYou You Zhang
Published in: Finance Stochastics (2016)
Keyphrases
  • joint distribution
  • option pricing
  • brownian motion
  • differential equations
  • probability distribution
  • conditional probabilities
  • maximum entropy
  • stochastic model