Albrecher, H. and Ivanovs, J. (2017). Strikingly simple identities relating exit problems for Lévy processes under continuous and Poisson observations. Stoch. Process. Appl. 127, 643–656.
Albrecher, H., Cheung, E. C. K. and Thonhauser, S. (2013). Randomized observation periods for the compound Poisson risk model: the discounted penalty function. Scand. Actuarial J. 2013, 424–452.
Albrecher, H., Ivanovs, J. and Zhou, X. (2016). Exit identities for Lévy processes observed at Poisson arrival times. Bernoulli 22, 1364–1382.
Albrecher, H., Kortschak, D. and Zhou, X. (2012). Pricing of Parisian options for a jump-diffusion model with two-sided jumps. Appl. Math. Finance 19, 97–129.
Baurdoux, E. J., Pardo, J. C., Pérez, J. L. and Renaud, J.-F. (2016). Gerber–Shiu distribution at Parisian ruin for Lévy insurance risk processes. J. Appl. Prob. 53, 572–584.
Bertoin, J. (1996). Lévy Processes. Cambridge University Press.
Broadie, M., Chernov, M. and Sundaresan, S. (2007). Optimal debt and equity values in the presence of Chapter 7 and Chapter 11. J. Finance 62, 1341–1377.
Chesney, M. and Gauthier, L. (2006). American Parisian options. Finance Stoch. 10, 475–506.
Chesney, M., Jeanblanc-Picqué, M. and Yor, M. (1997). Brownian excursions and Parisian barrier options. Adv. Appl. Prob. 29, 165–184.
Czarna, I. and Palmowski, Z. (2011). Ruin probability with Parisian delay for a spectrally negative Lévy risk processes. J. Appl. Prob. 48, 984–1002.
Dai, M., Jiang, L. and Lin, J. (2013). Pricing corporate debt with finite maturity and chapter 11 proceedings. Quant. Finance 13, 1855–1861.
Dassios, A. and Lim, J. W. (2013). Parisian option pricing: a recursive solution for the density of the Parisian stopping time. SIAM J. Financial Math. 4, 599–615.
Dassios, A. and Lim, J. W. (2017). An analytical solution for the two-sided Parisian stopping time, its asymptotics, and the pricing of Parisian options. Math. Finance 27, 604–620.
Dassios, A. and Wu, S. (2010). Perturbed Brownian motion and its application to Parisian option pricing. Finance Stoch. 14, 473–494.
Dassios, A. and Wu, S. (2011). Double-barrier Parisian options. J. Appl. Prob. 48, 1–20.
Dassios, A. and Zhang, Y. Y. (2016). The joint distribution of Parisian and hitting times of Brownian motion with application to Parisian option pricing. Finance Stoch. 20, 773–804.
Debnath, L. and Bhatta, D. (2015). Integral Transforms and Their Applications, 3rd edn. CRC, Boca Raton, FL.
François, P. and Morellec, E. (2004). Capital structure and asset prices: some effects of bankruptcy procedures. J. Business 77, 387–411.
Galai, D., Raviv, A. and Wiener, Z. (2007). Liquidation triggers and the valuation of equity and debt. J. Banking Finance 31, 3604–3620.
Kuznetsov, A., Kyprianou, A. E. and Rivero, V. (2012). The theory of scale functions for spectrally negative Lévy processes. In Lévy Matters II, Springer, Heidelberg, pp. 97–186.
Kyprianou, A. E. (2014). Fluctuations of Lévy Processes with Applications: Introductory Lectures, 2nd edn. Springer, Heidelberg.
Landriault, D., Renaud, J.-F. and Zhou, X. (2011). Occupation times of spectrally negative Lévy processes with applications. Stoch. Process. Appl. 121, 2629–2641.
Landriault, D., Renaud, J.-F. and Zhou, X. (2014). An insurance risk model with Parisian implementation delays. Methodol. Comput. Appl. Prob. 16, 583–607.
Li, B. and Zhou, X. (2013). The joint Laplace transforms for diffusion occupation times. Adv. Appl. Prob. 45, 1049–1067.
Li, B., Tang, Q., Wang, L. and Zhou, X. (2014). Liquidation risk in the presence of Chapters 7 and 11 of the US bankruptcy code. J. Financial Eng. 1, 1450023.
Lkabous, M. A., Czarna, I. and Renaud, J.-F. (2017). Parisian ruin for a refracted Lévy process. Insurance Math. Econom. 74, 153–163.
Loeffen, R., Czarna, I. and Palmowski, Z. (2013). Parisian ruin probability for spectrally negative Lévy processes. Bernoulli 19, 599–609.
Mejlbro, L. (2010). The Laplace Transformation I – General Theory: Complex Functions Theory a-4. Bookboon, London.
Wong, J. T. Y. and Cheung, E. C. K. (2015). On the time value of Parisian ruin in (dual) renewal risk processes with exponential jumps. Insurance Math. Econom. 65, 280–290.