A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 2: Bermudan Options
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Publication:3445893
DOI10.1080/13504860600858410zbMATH Open1281.91165OpenAlexW3121309048MaRDI QIDQ3445893FDOQ3445893
Authors: S. D. Howison 
Publication date: 7 June 2007
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/13504860600858410
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Cites Work
- A continuity correction for discrete barrier options
- Title not available (Why is that?)
- Connecting discrete and continuous path-dependent options
- The Wiener-Hopf equation whose kernel is a probability density
- A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options
- Sequential Tests for the Mean of a Normal Distribution IV (Discrete Case)
- The Wiener-Hopf equation whose kernel is a probability density. II
Cited In (12)
- A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options
- Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
- Perpetual Bermudan Continuity Corrections and a Multi-Dimensional Wiener–Hopf Type Result
- THE VARIANCE SWAP CONTRACT UNDER THE CEV PROCESS
- Pricing European and American options by radial basis point interpolation
- Continuity corrections for certain perpetual American and Bermudan options on multiple assets.
- 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
- Differential equations and asymptotic solutions for arithmetic Asian options: ‘Black–Scholes formulae’ for Asian rate calls
- A numerical method to estimate the parameters of the CEV model implied by American option prices: evidence from NYSE
- Pricing and exercising American options: an asymptotic expansion approach
- A fast numerical method to price American options under the Bates model
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