A matched asymptotic expansions approach to continuity corrections for discretely sampled options. Part 1: barrier options.
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 Fina...
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| Format: | Journal article |
| Published: |
2005
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