Parisian times for linear diffusions - Inria - Institut national de recherche en sciences et technologies du numérique
Pré-Publication, Document De Travail Année : 2021

Parisian times for linear diffusions

Résumé

We compute the joint distribution of the first times a linear diffusion makes an excursion longer than some given duration above (resp. below) some fixed level. In the literature, such stopping times have been introduced and studied in the framework of Parisian barrier options, mainly in the case of Brownian motion with drift. We also exhibit several independence properties, and provide some formulae for the associated ruin probabilities.
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Dates et versions

hal-03257661 , version 1 (11-06-2021)
hal-03257661 , version 2 (22-07-2022)

Identifiants

  • HAL Id : hal-03257661 , version 1

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Christophe Profeta. Parisian times for linear diffusions. 2021. ⟨hal-03257661v1⟩
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