A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 2: Bermudan Options (Q3445893)
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scientific article; zbMATH DE number 5162265
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| English | A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 2: Bermudan Options |
scientific article; zbMATH DE number 5162265 |
Statements
A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 2: Bermudan Options (English)
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7 June 2007
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0.8939604759216309
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0.8520320057868958
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0.832813024520874
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0.82183438539505
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0.7752301096916199
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