A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options
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Publication:3445892
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Cites work
- A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 2: Bermudan Options
- A continuity correction for discrete barrier options
- An exact analytical solution for discrete barrier options
- Brownian approximations to first passage probabilities
- Connecting discrete and continuous path-dependent options
- Corrected diffusion approximations in certain random walk problems
- Ladder heights, Gaussian random walks and the Riemann zeta function
- Matched asymptotic expansions in financial engineering
- Sequential Tests for the Mean of a Normal Distribution IV (Discrete Case)
- The Wiener-Hopf equation whose kernel is a probability density
- The Wiener-Hopf equation whose kernel is a probability density. II
Cited in
(22)- Pricing and exercising American options: an asymptotic expansion approach
- Displaced diffusion as an approximation of the constant elasticity of variance
- PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH
- Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms
- Pricing derivatives with barriers in a stochastic interest rate environment
- Matched asymptotic expansions in financial engineering
- Approximate arbitrage-free option pricing under the SABR model
- A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 2: Bermudan Options
- Barrier option pricing of mean-reverting stock model in uncertain environment
- Risk horizon and rebalancing horizon in portfolio risk measurement
- Reliability index and option pricing formulas of the first-hitting time model based on the uncertain fractional-order differential equation with Caputo type
- Continuity corrections for certain perpetual American and Bermudan options on multiple assets.
- Essentially exact asymptotic solutions for Asian derivatives
- Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach
- Perpetual Bermudan Continuity Corrections and a Multi-Dimensional Wiener–Hopf Type Result
- Continuity correction: on the pricing of discrete double barrier options
- Multilevel estimation of expected exit times and other functionals of stopped diffusions
- Continuity correction for discrete barrier options with two barriers
- Pricing financial claims contingent upon an underlying asset monitored at discrete times
- A continuity correction for discrete barrier options
- Differential equations and asymptotic solutions for arithmetic Asian options: ‘Black–Scholes formulae’ for Asian rate calls
- A semigroup expansion for pricing barrier options
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