A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options

DOI10.1080/13504860600858402zbMath1281.91166OpenAlexW2112479606MaRDI QIDQ3445892

Mario Steinberg, S. D. Howison

Publication date: 7 June 2007

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860600858402

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (18)

Essentially exact asymptotic solutions for Asian derivatives ⋮ A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 2: Bermudan Options ⋮ Pricing derivatives with barriers in a stochastic interest rate environment ⋮ Approximate arbitrage-free option pricing under the SABR model ⋮ Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach ⋮ PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH ⋮ Multilevel Estimation of Expected Exit Times and Other Functionals of Stopped Diffusions ⋮ Differential equations and asymptotic solutions for arithmetic Asian options: ‘Black–Scholes formulae’ for Asian rate calls ⋮ A semigroup expansion for pricing barrier options ⋮ RISK HORIZON AND REBALANCING HORIZON IN PORTFOLIO RISK MEASUREMENT ⋮ Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms ⋮ Pricing financial claims contingent upon an underlying asset monitored at discrete times ⋮ Barrier option pricing of mean-reverting stock model in uncertain environment ⋮ Matched asymptotic expansions in financial engineering ⋮ Perpetual Bermudan Continuity Corrections and a Multi-Dimensional Wiener–Hopf Type Result ⋮ Displaced Diffusion as an Approximation of the Constant Elasticity of Variance ⋮ Pricing and exercising American options: an asymptotic expansion approach ⋮ RELIABILITY INDEX AND OPTION PRICING FORMULAS OF THE FIRST-HITTING TIME MODEL BASED ON THE UNCERTAIN FRACTIONAL-ORDER DIFFERENTIAL EQUATION WITH CAPUTO TYPE

Cites Work

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

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