Continuity correction for discrete barrier options with two barriers

DOI10.1016/J.CAM.2012.06.021MaRDI QIDQ455886zbMATHOpenAlexFDO

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

zbMATH Keywords

chained optiondiscrete barrier optiondiscrete girsanov theorem

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91G99)

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Cited in

(6)

• scientific article; zbMATH DE number 2042813 (Why is no real title available?)
• A numerical method to price discrete double barrier options under a constant elasticity of variance model with jump diffusion
• A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 2: Bermudan Options
• Continuity correction: on the pricing of discrete double barrier options
• A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options
• A continuity correction for discrete barrier options

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