A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 2: Bermudan Options
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Publication:3445893
DOI10.1080/13504860600858410zbMath1281.91165OpenAlexW3121309048MaRDI QIDQ3445893
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
Related Items (11)
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 ⋮ Pricing European and American options by radial basis point interpolation ⋮ 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 ⋮ A fast numerical method to price American options under the Bates model ⋮ Pricing European and American options with two stochastic factors: a highly efficient radial basis function approach ⋮ Perpetual Bermudan Continuity Corrections and a Multi-Dimensional Wiener–Hopf Type Result ⋮ THE VARIANCE SWAP CONTRACT UNDER THE CEV PROCESS ⋮ Displaced Diffusion as an Approximation of the Constant Elasticity of Variance ⋮ Pricing and exercising American options: an asymptotic expansion approach
Cites Work
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- The Wiener-Hopf equation whose kernel is a probability density
- The Wiener-Hopf equation whose kernel is a probability density. II
- Connecting discrete and continuous path-dependent options
- A Continuity Correction for Discrete Barrier Options
- 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)
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