Continuity correction: on the pricing of discrete double barrier options

DOI10.1007/S11147-022-09193-ZMaRDI QIDQ6154209zbMATH OpenOpenAlexFDO

Authors Sheng-Feng Luo, Hsin-Chieh Wong

Publication date 19 March 2024

Published in Review of Derivatives Research (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s11147-022-09193-z

zbMATH Keywords

continuity correctiondiscrete option pricingdouble barrier optionovershootprinciple of smooth fit

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• Continuity correction for discrete barrier options with two barriers
• 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
• Pricing double barrier options

Cites work

• A continuity correction for discrete barrier options
• A numerical method to price discrete double barrier options under a constant elasticity of variance model with jump diffusion
• An extremely efficient numerical method for pricing options in the Black-Scholes model with jumps
• Connecting discrete and continuous lookback or hindsight options in exponential Lévy models
• Connecting discrete and continuous path-dependent options
• Continuity correction for discrete barrier options with two barriers
• Corrected diffusion approximations in certain random walk problems
• Corrected random walk approximations to free boundary problems in optimal stopping
• Extension of the corrected barrier approximation by Broadie, Glasserman, and Kou
• Improving Brownian approximations for boundary crossing problems
• Numerical valuation of discrete double barrier options
• On Excess Over the Boundary
• PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
• Pricing Asian options under a hyper-exponential jump diffusion model
• Pricing derivatives with barriers in a stochastic interest rate environment
• Pricing double barrier options using Laplace transforms
• Pricing double-barrier options under a flexible jump diffusion model
• Pricing Options With Curved Boundaries¹
• Probability. Theory and examples.
• Sequential analysis. Tests and confidence intervals
• Sequential Tests for the Mean of a Normal Distribution IV (Discrete Case)
• Stochastic calculus for finance. II: Continuous-time models.
• Stopped diffusion processes: boundary corrections and overshoot
• The Russian option: Reduced regret
• Valuation of continuously monitored double barrier options and related securities

This page was built for publication: Continuity correction: on the pricing of discrete double barrier options

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6154209)