A matched asymptotic expansions approach to continuity corrections for discretely sampled options. Part 2: Bermudan options

Applied Mathematical Finance

Volumn 14, Issue 1, 2007, Pages 91-104

  Howison, Sam ^a  

^a UNIVERSITY OF OXFORD   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33847662395     PISSN: 1350486X     EISSN: 14664313     Source Type: Journal    
DOI: 10.1080/13504860600858410     Document Type: Article

References (13)

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