Pages that link to "Item:Q3445892"

The following pages link to A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options (Q3445892):

Displaying 18 items.

• A semigroup expansion for pricing barrier options (Q462410) (← links)
• Pricing derivatives with barriers in a stochastic interest rate environment (Q844767) (← links)
• Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach (Q889625) (← links)
• Approximate arbitrage-free option pricing under the SABR model (Q1655765) (← links)
• Barrier option pricing of mean-reverting stock model in uncertain environment (Q1997677) (← links)
• Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms (Q2246590) (← links)
• Pricing and exercising American options: an asymptotic expansion approach (Q2338522) (← links)
• Pricing financial claims contingent upon an underlying asset monitored at discrete times (Q2476662) (← links)
• Matched asymptotic expansions in financial engineering (Q2501093) (← links)
• Essentially exact asymptotic solutions for Asian derivatives (Q2888863) (← links)
• A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 2: Bermudan Options (Q3445893) (← links)
• PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH (Q3521283) (← links)
• Differential equations and asymptotic solutions for arithmetic Asian options: ‘Black–Scholes formulae’ for Asian rate calls (Q3532293) (← links)
• Perpetual Bermudan Continuity Corrections and a Multi-Dimensional Wiener–Hopf Type Result (Q3611814) (← links)
• Displaced Diffusion as an Approximation of the Constant Elasticity of Variance (Q3652697) (← links)
• Multilevel Estimation of Expected Exit Times and Other Functionals of Stopped Diffusions (Q4611523) (← links)
• RISK HORIZON AND REBALANCING HORIZON IN PORTFOLIO RISK MEASUREMENT (Q4906529) (← links)
• RELIABILITY INDEX AND OPTION PRICING FORMULAS OF THE FIRST-HITTING TIME MODEL BASED ON THE UNCERTAIN FRACTIONAL-ORDER DIFFERENTIAL EQUATION WITH CAPUTO TYPE (Q5024740) (← links)