Brownian excursions and Parisian barrier options

被引:145
作者
Chesney, M
JeanblancPicque, M
Yor, M
机构
[1] UNIV EVRY VAL DESSONNE,F-91025 EVRY,FRANCE
[2] UNIV PARIS 06,PROBABIL LAB,F-75252 PARIS,FRANCE
关键词
Brownian excursion; Brownian meander; barrier options;
D O I
10.2307/1427865
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
In this paper we study a new kind of option, called hereinafter a Parisian barrier option. This option is the following variant of the so-called barrier option: a down-and-out barrier option becomes worthless as soon as a barrier is reached, whereas a down-and-out Parisian barrier option is lost by the owner if the underlying asset reaches a prespecified level and remains constantly below this level for a time interval longer than a fixed number, called the window. Properties of durations of Brownian excursions play an essential role. We also study another kind of option, called here a cumulative Parisian option, which becomes worthless if the total time spent below a certain level is too long.
引用
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页码:165 / 184
页数:20
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