A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options

Author： Howison Sam   Steinberg Mario  

Publisher： Routledge Ltd

ISSN： 1466-4313

Source： Applied Mathematical Finance, Vol.14, Iss.1, 2007-02, pp. : 63-89

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 2: Bermudan Options

By Howison Sam  

Applied Mathematical Finance, Vol. 14, Iss. 1, 2007-02 ,pp. : 91-104

Routledge Ltd

Access to resources Recommend Favorite

The evolution of travelling waves in generalized Fisher equations via matched asymptotic expansions: Exponential corrections

By Leach J.   Needham D.  

Zeitschrift für angewandte Mathematik und Physik ZAMP, Vol. 55, Iss. 5, 2004-09 ,pp. : 756-768

Springer Publishing Company

Access to resources Recommend Favorite

An explicit finite difference approach to the pricing of barrier options

By Boyle Phelim P.    

Applied Mathematical Finance, Vol. 5, Iss. 1, 1998-03 ,pp. : 17-43

Routledge Ltd

Access to resources Recommend Favorite

Derivation of the Forchheimer Law Via Matched Asymptotic Expansions

By Giorgi T.  

Transport in Porous Media, Vol. 29, Iss. 2, 1997-11 ,pp. : 191-206

Springer Publishing Company

Access to resources Recommend Favorite

A New Approach to Pricing Double-Barrier Options with Arbitrary Payoffs and Exponential Boundaries

By Buchen Peter   Konstandatos Otto  

Applied Mathematical Finance, Vol. 16, Iss. 6, 2009-01 ,pp. : 497-515

Routledge Ltd

Access to resources Recommend Favorite