On Bermudan options
Bermuda options can be exercised at a set \(R\) of dates. It becomes Europe option when \(R\) is a singleton \({T}\) and becomes American option when \(R\) is an interval \([0,T]\). If \(R=\{t_0,T\}\) and the corresponding payments are \(U_{t_0}=\max(X_{t_0}, Ke^{-rt_0})\) and \(U_T=\max(X_T,{\frac {X_{t_0}}{X_0}} Ke^{-r(T-t_0)})\) respectively, it is called the rollover option by \textit{C. Bilodeau} [Insur. Math. Econ. 21, 103-111 (1997; Zbl 0894.90012)], where \(X_t\) stands for the asset process. In the present paper, a general set \(R\) of permitted exercise dates with incomplete market is studied. Under mild restriction on the set \(R\), with a payoff \(\{U_t: t\in R\}\) and an arbitrary stopping time valued in \(R\), the corresponding Bermudan put option is hedged by the idea of superreplication with a consumption process in this paper. The result is quite similar to that of the American option. Finally, the rollover option is examined and explicit formula are obtained, which yield the same result as in (Bilodeau, loc. cit.) for a dividend of 0. For the entire collection see [Zbl 0986.00085].
- Bermudan options pricing formulas in uncertain financial markets
- American and Bermudan options in currency markets with proportional transaction costs
- A Simple Derivation of and Improvements to Jamshidian's and Rogers' Upper Bound Methods for Bermudan Options
- A backward dual representation for the quantile hedging of Bermudan options
- Dual valuation and hedging of Bermudan options
- Bermudan option in Singapore savings bonds
- Bermudan options pricing formulas in uncertain financial markets
- A dynamic look-ahead Monte Carlo algorithm for pricing Bermudan options
- Discrete-time approximation for continuously and discretely reflected BSDEs
- A backward dual representation for the quantile hedging of Bermudan options
- The efficient hedging problem for American options
- Solving high-dimensional optimal stopping problems using deep learning
- Deep optimal stopping
- Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation
- Stopping times of boundaries: relaxation and continuity
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