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- W2149583263 abstract "This paper addresses Paris barrier options, as introduced by G. Kentwell and J. Cornwall at Bankers Trust Australia in the mid-1990s, and their valuation, as developed by Chesnay, Jeanblanc-Picqué and Yor using the Laplace-transform approach. The notion of Paris barrier options is extended so that their valuation becomes possible at any point during their lifespan, and the pertinent Laplace transforms of Chesnay, Jeanblanc-Picqué and Yor are modified when necessary." @default.
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- W2149583263 date "2003-09-01" @default.
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- W2149583263 title "Brownian excursions and Parisian barrier options: a note" @default.
- W2149583263 cites W3121516682 @default.
- W2149583263 doi "https://doi.org/10.1239/jap/1067436086" @default.
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