{"id":"https://openalex.org/W2018883703","doi":"https://doi.org/10.1137/120875466","title":"Parisian Option Pricing: A Recursive Solution for the Density of the Parisian Stopping Time","display_name":"Parisian Option Pricing: A Recursive Solution for the Density of the Parisian Stopping Time","publication_year":2013,"publication_date":"2013-01-01","ids":{"openalex":"https://openalex.org/W2018883703","doi":"https://doi.org/10.1137/120875466","mag":"2018883703"},"language":"en","primary_location":{"id":"doi:10.1137/120875466","is_oa":false,"landing_page_url":"https://doi.org/10.1137/120875466","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5072092319","display_name":"Angelos Dassios","orcid":"https://orcid.org/0000-0002-3968-2366"},"institutions":[{"id":"https://openalex.org/I909854389","display_name":"London School of Economics and Political Science","ror":"https://ror.org/0090zs177","country_code":"GB","type":"education","lineage":["https://openalex.org/I124357947","https://openalex.org/I909854389"]}],"countries":["GB"],"is_corresponding":true,"raw_author_name":"Angelos Dassios","raw_affiliation_strings":["Department of Statistics, London School of Economics, London WC2A 2AE, UK"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Statistics, London School of Economics, London WC2A 2AE, UK","institution_ids":["https://openalex.org/I909854389"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5066052299","display_name":"Jia Wei Lim","orcid":"https://orcid.org/0000-0001-9839-3620"},"institutions":[{"id":"https://openalex.org/I909854389","display_name":"London School of Economics and Political Science","ror":"https://ror.org/0090zs177","country_code":"GB","type":"education","lineage":["https://openalex.org/I124357947","https://openalex.org/I909854389"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Jia Wei Lim","raw_affiliation_strings":["Department of Statistics, London School of Economics, London WC2A 2AE, UK"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Statistics, London School of Economics, London WC2A 2AE, UK","institution_ids":["https://openalex.org/I909854389"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5072092319"],"corresponding_institution_ids":["https://openalex.org/I909854389"],"apc_list":null,"apc_paid":null,"fwci":2.5953,"has_fulltext":true,"cited_by_count":19,"citation_normalized_percentile":{"value":0.90356633,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":98},"biblio":{"volume":"4","issue":"1","first_page":"599","last_page":"615"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9991000294685364,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9991000294685364,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11976","display_name":"Capital Investment and Risk Analysis","score":0.9801999926567078,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12137","display_name":"Economic theories and models","score":0.9279999732971191,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/laplace-transform","display_name":"Laplace transform","score":0.7669699788093567},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.6494776606559753},{"id":"https://openalex.org/keywords/stopping-time","display_name":"Stopping time","score":0.6062369346618652},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.5646858215332031},{"id":"https://openalex.org/keywords/optimal-stopping","display_name":"Optimal stopping","score":0.540280818939209},{"id":"https://openalex.org/keywords/inversion","display_name":"Inversion (geology)","score":0.5176456570625305},{"id":"https://openalex.org/keywords/probability-density-function","display_name":"Probability density function","score":0.506400465965271},{"id":"https://openalex.org/keywords/volterra-integral-equation","display_name":"Volterra integral equation","score":0.4508499801158905},{"id":"https://openalex.org/keywords/function","display_name":"Function (biology)","score":0.4468539357185364},{"id":"https://openalex.org/keywords/window-function","display_name":"Window function","score":0.42238202691078186},{"id":"https://openalex.org/keywords/window","display_name":"Window (computing)","score":0.41213613748550415},{"id":"https://openalex.org/keywords/integral-equation","display_name":"Integral equation","score":0.37464433908462524},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.33602309226989746},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.31394803524017334},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.20215633511543274},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.0980299711227417}],"concepts":[{"id":"https://openalex.org/C97937538","wikidata":"https://www.wikidata.org/wiki/Q199691","display_name":"Laplace transform","level":2,"score":0.7669699788093567},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.6494776606559753},{"id":"https://openalex.org/C99888217","wikidata":"https://www.wikidata.org/wiki/Q1288707","display_name":"Stopping time","level":2,"score":0.6062369346618652},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.5646858215332031},{"id":"https://openalex.org/C99414536","wikidata":"https://www.wikidata.org/wiki/Q7098950","display_name":"Optimal stopping","level":2,"score":0.540280818939209},{"id":"https://openalex.org/C1893757","wikidata":"https://www.wikidata.org/wiki/Q3653001","display_name":"Inversion (geology)","level":3,"score":0.5176456570625305},{"id":"https://openalex.org/C197055811","wikidata":"https://www.wikidata.org/wiki/Q207522","display_name":"Probability density function","level":2,"score":0.506400465965271},{"id":"https://openalex.org/C21965488","wikidata":"https://www.wikidata.org/wiki/Q2632613","display_name":"Volterra integral equation","level":3,"score":0.4508499801158905},{"id":"https://openalex.org/C14036430","wikidata":"https://www.wikidata.org/wiki/Q3736076","display_name":"Function (biology)","level":2,"score":0.4468539357185364},{"id":"https://openalex.org/C140101238","wikidata":"https://www.wikidata.org/wiki/Q1404885","display_name":"Window function","level":3,"score":0.42238202691078186},{"id":"https://openalex.org/C2778751112","wikidata":"https://www.wikidata.org/wiki/Q835016","display_name":"Window (computing)","level":2,"score":0.41213613748550415},{"id":"https://openalex.org/C27016315","wikidata":"https://www.wikidata.org/wiki/Q580101","display_name":"Integral equation","level":2,"score":0.37464433908462524},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.33602309226989746},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.31394803524017334},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.20215633511543274},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.0980299711227417},{"id":"https://openalex.org/C109007969","wikidata":"https://www.wikidata.org/wiki/Q749565","display_name":"Structural basin","level":2,"score":0.0},{"id":"https://openalex.org/C168110828","wikidata":"https://www.wikidata.org/wiki/Q1331626","display_name":"Spectral density","level":2,"score":0.0},{"id":"https://openalex.org/C111919701","wikidata":"https://www.wikidata.org/wiki/Q9135","display_name":"Operating system","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C78458016","wikidata":"https://www.wikidata.org/wiki/Q840400","display_name":"Evolutionary biology","level":1,"score":0.0},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1137/120875466","is_oa":false,"landing_page_url":"https://doi.org/10.1137/120875466","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},{"id":"pmh:oai:researchonline.lse.ac.uk:58985","is_oa":false,"landing_page_url":"https://orcid.org/0000-0002-3968-2366>","pdf_url":null,"source":{"id":"https://openalex.org/S4306400050","display_name":"London School of Economics and Political Science Theses Online (London School of Economics and Political Science)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I909854389","host_organization_name":"London School of Economics and Political Science","host_organization_lineage":["https://openalex.org/I909854389"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"PeerReviewed"},{"id":"pmh:oai:v-lib-bura1.brunel.ac.uk:2438/18760","is_oa":false,"landing_page_url":"http://bura.brunel.ac.uk/handle/2438/18760","pdf_url":null,"source":{"id":"https://openalex.org/S4306401473","display_name":"Brunel University Research Archive (BURA) (Brunel University London)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I59433898","host_organization_name":"Brunel University of London","host_organization_lineage":["https://openalex.org/I59433898"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":11,"referenced_works":["https://openalex.org/W1970777372","https://openalex.org/W1974481168","https://openalex.org/W1995417036","https://openalex.org/W2005171207","https://openalex.org/W2016090747","https://openalex.org/W2054092618","https://openalex.org/W2069193625","https://openalex.org/W2093453879","https://openalex.org/W2149583263","https://openalex.org/W2268323716","https://openalex.org/W3124164925"],"related_works":["https://openalex.org/W4316830005","https://openalex.org/W3097642646","https://openalex.org/W2022139826","https://openalex.org/W1989184280","https://openalex.org/W3123468487","https://openalex.org/W2002489931","https://openalex.org/W2349258365","https://openalex.org/W1511853515","https://openalex.org/W2161463710","https://openalex.org/W1488326122"],"abstract_inverted_index":{"In":[0],"this":[1,41],"paper,":[2],"we":[3,100,114],"obtain":[4],"the":[5,9,28,53,60,76,87,90,116],"density":[6,88],"function":[7],"of":[8,21,27,40,75,89,118],"single":[10],"barrier":[11],"one-sided":[12,119],"Parisian":[13,120],"stopping":[14,91],"time.":[15],"The":[16,38],"problem":[17],"reduces":[18],"to":[19,46,57],"that":[20,47,52],"solving":[22],"a":[23,32,65,72,102],"Volterra":[24],"integral":[25],"equation":[26,104],"first":[29],"kind,":[30],"where":[31],"recursive":[33,103],"solution":[34],"is":[35,51],"consequently":[36],"obtained.":[37,95],"advantage":[39],"new":[42],"method":[43],"as":[44,59],"compared":[45],"in":[48],"previous":[49],"literature":[50],"recursions":[54],"are":[55,109],"easy":[56],"program":[58],"resulting":[61],"formula":[62,85],"involves":[63],"only":[64],"finite":[66],"sum":[67],"and":[68],"does":[69],"not":[70],"require":[71],"numerical":[73,107],"inversion":[74],"Laplace":[77],"transform.":[78],"For":[79,96],"long":[80],"window":[81,98],"periods,":[82],"an":[83],"explicit":[84],"for":[86],"time":[92],"can":[93],"be":[94],"shorter":[97],"lengths,":[99],"derive":[101],"from":[105],"which":[106],"results":[108],"computed.":[110],"From":[111],"these":[112],"results,":[113],"compute":[115],"prices":[117],"options.":[121]},"counts_by_year":[{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":1},{"year":2020,"cited_by_count":2},{"year":2019,"cited_by_count":4},{"year":2018,"cited_by_count":3},{"year":2017,"cited_by_count":2},{"year":2016,"cited_by_count":1},{"year":2015,"cited_by_count":2},{"year":2014,"cited_by_count":2},{"year":2013,"cited_by_count":1}],"updated_date":"2026-04-27T08:22:11.395708","created_date":"2025-10-10T00:00:00"}