Pages that link to "Item:Q3445892"
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The following pages link to A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options (Q3445892):
Displayed 8 items.
- Pricing derivatives with barriers in a stochastic interest rate environment (Q844767) (← links)
- Pricing financial claims contingent upon an underlying asset monitored at discrete times (Q2476662) (← links)
- Matched asymptotic expansions in financial engineering (Q2501093) (← links)
- A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 2: Bermudan Options (Q3445893) (← links)
- PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH (Q3521283) (← links)
- Differential equations and asymptotic solutions for arithmetic Asian options: ‘Black–Scholes formulae’ for Asian rate calls (Q3532293) (← links)
- Perpetual Bermudan Continuity Corrections and a Multi-Dimensional Wiener–Hopf Type Result (Q3611814) (← links)
- Displaced Diffusion as an Approximation of the Constant Elasticity of Variance (Q3652697) (← links)