A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 2: Bermudan Options
From MaRDI portal
Publication:3445893
Recommendations
- A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options
- Continuity corrections for certain perpetual American and Bermudan options on multiple assets.
- Continuity correction for discrete barrier options with two barriers
- A continuity correction for discrete barrier options
- Continuity Correction for Barrier Options in Jump-Diffusion Models
Cites work
- scientific article; zbMATH DE number 1999206 (Why is no real title available?)
- A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options
- A continuity correction for discrete barrier options
- Connecting discrete and continuous path-dependent options
- 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
(12)- Pricing and exercising American options: an asymptotic expansion approach
- Displaced diffusion as an approximation of the constant elasticity of variance
- Pricing European and American options with two stochastic factors: a highly efficient radial basis function approach
- THE VARIANCE SWAP CONTRACT UNDER THE CEV PROCESS
- Continuity corrections for certain perpetual American and Bermudan options on multiple assets.
- A fast numerical method to price American options under the Bates model
- Perpetual Bermudan Continuity Corrections and a Multi-Dimensional Wiener–Hopf Type Result
- Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
- A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options
- A numerical method to estimate the parameters of the CEV model implied by American option prices: evidence from NYSE
- Pricing European and American options by radial basis point interpolation
- Differential equations and asymptotic solutions for arithmetic Asian options: ‘Black–Scholes formulae’ for Asian rate calls
This page was built for publication: A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 2: Bermudan Options
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3445893)
