A semi-Markov Model for excursions and occupation time and its applications in Parisian options pricing
Shanle Wu
(LSE)
05/02/08
In our work, we study the excursion time and occupation time of a
Markov process below or above a given level by using a simple two
states semi-Markov model. In mathematical finance, these results
have an important application in the valuation of path dependent
options such as Parisian options and cumulative Parisian options.
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[Last modified: Jan. 4th 2008 by Erik Baurdoux]
