A general approach for Parisian stopping times under Markov processes
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Finance,Statistics and Probability
Link
https://link.springer.com/content/pdf/10.1007/s00780-023-00505-1.pdf
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3. Athanasiadis, C., Stratis, I.G.: On some elliptic transmission problems. Ann. Pol. Math. 63, 137–154 (1996)
4. Avellaneda, M., Wu, L.: Pricing Parisian-style options with a lattice method. Int. J. Theor. Appl. Finance 2, 1–16 (1999)
5. Baldi, P., Caramellino, L., Iovino, M.G.: Pricing complex barrier options with general features using sharp large deviation estimates. In: Niederreiter, H., Spanier, J. (eds.) Monte Carlo and Quasi-Monte Carlo Methods 1998, pp. 149–162. Springer, Berlin (2000)
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