A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options
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Publication:3445892
DOI10.1080/13504860600858402zbMATH Open1281.91166OpenAlexW2112479606MaRDI QIDQ3445892FDOQ3445892
S. D. Howison, Mario Steinberg
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
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Cites Work
- A continuity correction for discrete barrier options
- Connecting discrete and continuous path-dependent options
- An exact analytical solution for discrete barrier options
- Matched asymptotic expansions in financial engineering
- The Wiener-Hopf equation whose kernel is a probability density
- Ladder heights, Gaussian random walks and the Riemann zeta function
- Sequential Tests for the Mean of a Normal Distribution IV (Discrete Case)
- A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 2: Bermudan Options
- The Wiener-Hopf equation whose kernel is a probability density. II
- Corrected diffusion approximations in certain random walk problems
- Brownian approximations to first passage probabilities
Cited In (20)
- Essentially exact asymptotic solutions for Asian derivatives
- PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH
- RELIABILITY INDEX AND OPTION PRICING FORMULAS OF THE FIRST-HITTING TIME MODEL BASED ON THE UNCERTAIN FRACTIONAL-ORDER DIFFERENTIAL EQUATION WITH CAPUTO TYPE
- Barrier option pricing of mean-reverting stock model in uncertain environment
- Perpetual Bermudan Continuity Corrections and a Multi-Dimensional Wiener–Hopf Type Result
- Approximate arbitrage-free option pricing under the SABR model
- A continuity correction for discrete barrier options
- Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms
- A semigroup expansion for pricing barrier options
- Pricing derivatives with barriers in a stochastic interest rate environment
- A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 2: Bermudan Options
- Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach
- Continuity corrections for certain perpetual American and Bermudan options on multiple assets.
- Multilevel Estimation of Expected Exit Times and Other Functionals of Stopped Diffusions
- RISK HORIZON AND REBALANCING HORIZON IN PORTFOLIO RISK MEASUREMENT
- Displaced diffusion as an approximation of the constant elasticity of variance
- Differential equations and asymptotic solutions for arithmetic Asian options: ‘Black–Scholes formulae’ for Asian rate calls
- Pricing and exercising American options: an asymptotic expansion approach
- Matched asymptotic expansions in financial engineering
- Pricing financial claims contingent upon an underlying asset monitored at discrete times
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