A matched asymptotic expansions approach to continuity corrections for discretely sampled options. Part 2: Bermudan options.
We discuss the `continuity correction' that should be applied to connect the prices of discretely sampled American put options (i.e. Bermudan options) and their continuously-sampled equivalents. Using a matched asymptotic expansions approach we compute the correction and relate it to that disc...
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| Médium: | Journal article |
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2005
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