Journal of Applied Probability

Double-barrier Parisian options

Angelos Dassios and Shanle Wu

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In this paper we study the excursion time of a Brownian motion with drift outside a corridor by using a four-state semi-Markov model. In mathematical finance, these results have an important application in the valuation of double-barrier Parisian options. We subsequently obtain an explicit expression for the Laplace transform of its price.

Article information

J. Appl. Probab., Volume 48, Number 1 (2011), 1-20.

First available in Project Euclid: 15 March 2011

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Mathematical Reviews number (MathSciNet)

Zentralblatt MATH identifier

Primary: 91B28
Secondary: 60J65: Brownian motion [See also 58J65] 60G44: Martingales with continuous parameter 60J25: Continuous-time Markov processes on general state spaces

Excursion time four-state semi-Markov model double-barrier Parisian option Laplace transform


Dassios, Angelos; Wu, Shanle. Double-barrier Parisian options. J. Appl. Probab. 48 (2011), no. 1, 1--20. doi:10.1239/jap/1300198132.

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