Asymptotic Approximations for Asian, European, and American Options with Discrete Averaging or Discrete Dividend/Coupon Payments

DOI10.1137/090771636zbMath1255.91429OpenAlexW2010807005MaRDI QIDQ4902211

S. D. Howison

Publication date: 25 January 2013

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/c200e3a2a136acead4daf265364cd90a861927b1

zbMATH Keywords

option pricingAmerican optionBlack-Scholesdividendsexercise boundarydiscrete payment

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

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