Asymptotic Approximations for Asian, European, and American Options with Discrete Averaging or Discrete Dividend/Coupon Payments
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Finance,Numerical Analysis
Link
http://epubs.siam.org/doi/pdf/10.1137/090771636
Reference10 articles.
1. Ray methods for free boundary problems
2. A Continuity Correction for Discrete Barrier Options
3. A Mathematical Analysis of the Optimal Exercise Boundary for American Put Options
4. Convexity of the optimal stopping boundary for the American put option
5. A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 2: Bermudan Options
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1. THE VALUATION OF SELF-FUNDING INSTALMENT WARRANTS;International Journal of Theoretical and Applied Finance;2017-05
2. Closed-Form Expansions of Discretely Monitored Asian Options in Diffusion Models;Mathematics of Operations Research;2014-08
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