Pricing some exotic options with the help of excursion theory

Marc Yor

Abstract: Following the independent exponential time methodology discussed in my first lecture, it is most natural to decompose an integral over time into excursion intervals. The theory of Brownian excursions may then be applied in a very efficient manner not only with respect to Asian options, but also to other exotic options such as the so-called Parisian options (joint work with M. Chesney and M. Jeanblanc).