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Reference: Sam Howison and Mario Steinberg, (2005). A matched asymptotic expansions approach to continuity corrections for discretely sampled options. Part 1: barrier options.Citable link to this page:

 

A matched asymptotic expansions approach to continuity corrections for discretely sampled options. Part 1: barrier options.

Abstract: We discuss the `continuity correction' that should be applied to relate the prices of discretely sampled barrier options and their continuously-sampled equivalents. Using a matched asymptotic expansions approach we show that the correction of Broadie, Glasserman & Kou (Mathematical Finance 7, 325 (1997)) can be applied in a very wide variety of cases. We calculate the correction to higher order in terms of the expansion parameter (the scaled time between resets) and we show how to apply the correction in jump-diffusion and local volatility models.

Bibliographic Details

Issue Date: 2005Identifiers

Urn: uuid:5a100743-40a7-4ff8-a607-354bae154cc0 Item Description

Type: Article;

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Author: Sam Howison - - - Mario Steinberg - - - - Bibliographic Details Issue Date: 2005 - Identifiers Urn: uuid:5a100743-40a7-4ff8-a607-

Source: https://ora.ox.ac.uk/objects/uuid:5a100743-40a7-4ff8-a607-354bae154cc0



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