Continuity correction for discrete barrier options with two barriers

DOI10.1016/J.CAM.2012.06.021zbMATH Open1260.91267OpenAlexW2093307376MaRDI QIDQ455886FDOQ455886

Authors: Doobae Jun 

Publication date: 22 October 2012

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2012.06.021

Recommendations

• A continuity correction for discrete barrier options
• A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options
• Extension of the corrected barrier approximation by Broadie, Glasserman, and Kou
• Continuity Correction for Barrier Options in Jump-Diffusion Models
• scientific article; zbMATH DE number 2042813

zbMATH Keywords

chained optiondiscrete barrier optiondiscrete girsanov theorem

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91G99)

Cited In (6)

• A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options
• Continuity correction: on the pricing of discrete double barrier options
• A continuity correction for discrete barrier options
• Title not available (Why is that?)
• A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 2: Bermudan Options
• A numerical method to price discrete double Barrier options under a constant elasticity of variance model with jump diffusion

This page was built for publication: Continuity correction for discrete barrier options with two barriers

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q455886)