Parisian time of reflected Brownian motion with drift on rays and its application in banking
| Autor: | Junyi Zhang, Angelos Dassios |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2020 |
| Předmět: |
real-time gross settlement system
Parisian time Laplace transform Computer science Settlement (structural) Strategy and Management Economics Econometrics and Finance (miscellaneous) Sample (statistics) Liquidity risk lcsh:HG8011-9999 lcsh:Insurance Distribution (mathematics) Reflected Brownian motion Accounting exact simulation ddc:330 Applied mathematics HA Statistics Limit (mathematics) Brownian motion |
| Zdroj: | Risks Volume 8 Issue 4 Risks, Vol 8, Iss 127, p 127 (2020) |
| Popis: | In this paper, we study the Parisian time of a reflected Brownian motion with drift on a finite collection of rays. We derive the Laplace transform of the Parisian time using a recursive method, and provide an exact simulation algorithm to sample from the distribution of the Parisian time. The paper was motivated by the settlement delay in the real-time gross settlement (RTGS) system. Both the central bank and the participating banks in the system are concerned about the liquidity risk, and are interested in the first time that the duration of settlement delay exceeds a predefined limit. We reduce this problem to the calculation of the Parisian time. The Parisian time is also crucial in the pricing of Parisian type options to this end, we will compare our results to the existing literature. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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