Pages that link to "Item:Q2707182"
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The following pages link to A Continuity Correction for Discrete Barrier Options (Q2707182):
Displayed 24 items.
- Exotic options under Lévy models: an overview (Q818210) (← links)
- Complete corrected diffusion approximations for the maximum of a random walk (Q997958) (← links)
- Pricing algorithms of multivariate path dependent options (Q1347857) (← links)
- PDE methods for pricing barrier options (Q1583144) (← links)
- Weak approximation of killed diffusion using Euler schemes. (Q1877395) (← links)
- Estimating correlation from high, low, opening and closing prices (Q2426612) (← links)
- On Lerch's transcendent and the Gaussian random walk (Q2455051) (← links)
- Fast and accurate pricing of discretely monitored barrier options by numerical path integration (Q2461660) (← links)
- Cumulants of the maximum of the Gaussian random walk (Q2464856) (← links)
- Discrete approximation of finite-horizon American-style options (Q2466765) (← links)
- On pricing discrete barrier options using conditional expectation and importance sampling Monte Carlo (Q2473285) (← links)
- Pricing financial claims contingent upon an underlying asset monitored at discrete times (Q2476662) (← links)
- Correcting for Simulation Bias in Monte Carlo Methods to Value Exotic Options in Models Driven by Lévy Processes (Q3424322) (← links)
- A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options (Q3445892) (← links)
- A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 2: Bermudan Options (Q3445893) (← links)
- Pricing options with Green's functions when volatility, interest rate and barriers depend on time (Q3498560) (← links)
- PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH (Q3521283) (← links)
- Perpetual Bermudan Continuity Corrections and a Multi-Dimensional Wiener–Hopf Type Result (Q3611814) (← links)
- Highs and lows: Some properties of the extremes of a diffusion and applications in finance (Q4801371) (← links)
- Pricing Discrete European Barrier Options Using Lattice Random Walks (Q4825513) (← links)
- Corrected random walk approximations to free boundary problems in optimal stopping (Q5426468) (← links)
- Overshoot in the Case of Normal Variables: Chernoff's Integral, Latta's Observation, and Wijsman's Sum (Q5431479) (← links)
- THE PRICING OF EXOTIC OPTIONS BY MONTE–CARLO SIMULATIONS IN A LÉVY MARKET WITH STOCHASTIC VOLATILITY (Q5696880) (← links)
- A moment expansion approach to option pricing (Q5697340) (← links)