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Parisian times for linear diffusions

Abstract : 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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Preprints, Working Papers, ...
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https://hal.inria.fr/hal-03257661
Contributor : Christophe Profeta Connect in order to contact the contributor
Submitted on : Friday, June 11, 2021 - 9:50:34 AM
Last modification on : Tuesday, September 7, 2021 - 3:36:27 PM
Long-term archiving on: : Sunday, September 12, 2021 - 6:53:37 PM

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  • HAL Id : hal-03257661, version 1

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

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