A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options (Q3445892): Difference between revisions

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+A Continuity Correction for Discrete Barrier Options
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+Connecting discrete and continuous path-dependent options
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+Ladder heights, Gaussian random walks and the Riemann zeta function
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+Sequential Tests for the Mean of a Normal Distribution IV (Discrete Case)
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+An exact analytical solution for discrete barrier options
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+Matched asymptotic expansions in financial engineering
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+A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 2: Bermudan Options
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+Corrected diffusion approximations in certain random walk problems
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+Brownian approximations to first passage probabilities
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+The Wiener-Hopf equation whose kernel is a probability density
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+The Wiener-Hopf equation whose kernel is a probability density. II
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