Perpetual Bermudan Continuity Corrections and a Multi-Dimensional Wiener–Hopf Type Result

DOI10.1080/07362990802405703zbMath1161.91014OpenAlexW1982818122WikidataQ57542999 ScholiaQ57542999MaRDI QIDQ3611814

Frederik S. Herzberg

Publication date: 3 March 2009

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362990802405703

zbMATH Keywords

Wiener-Hopf factorizationAmerican and Bermudan optionscontinuity correctionsexercise regions

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Factorization theory (including Wiener-Hopf and spectral factorizations) of linear operators (47A68) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (1)

First steps towards an equilibrium theory for Lévy financial markets

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
• Extension of the corrected barrier approximation by Broadie, Glasserman, and Kou
• Properties of American option prices
• A Continuity Correction for Discrete Barrier Options
• A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options
• A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 2: Bermudan Options
• The Valuation of American Options on Multiple Assets
• ON THE AMERICAN OPTION PROBLEM

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