Pricing of perpetual American and Bermudan options by binomial tree method

DOI10.1007/S11464-007-0017-2MaRDI QIDQ2480271zbMATH OpenOpenAlexFDO

Authors Jianwei Lin, Jin Liang

Publication date 31 March 2008

Published in Frontiers of Mathematics in China (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11464-007-0017-2

zbMATH Keywords

contraction mappingoptimal exercise boundaryperpetual American optionbinomial tree methodperpetual bermudan option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Pricing formula of perpetual Bermudan option
• Pricing of perpetual Bermudan options
• A Note on the Pricing of American Options
• Convergence of Binomial Tree Methods for European/American Path-Dependent Options
• On the pricing of perpetual American compound options

Cites work

• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• scientific article; zbMATH DE number 2233868 (Why is no real title available?)
• Convergence of Binomial Tree Methods for European/American Path-Dependent Options
• Convergence of binomial tree method for American options
• Option pricing: A simplified approach

Cited in

(11)

• An explicit finite difference approach to the pricing problems of perpetual Bermudan options
• Numerical solution of an integral equation for perpetual Bermudan options
• On the binomial tree method and other issues in connection with pricing Bermudan and American options
• Pricing formulas for perpetual American options with general payoffs
• Pricing methods for \(\alpha \)-quantile and perpetual early exercise options based on Spitzer identities
• A Note on the Pricing of American Options
• Exercisability Randomization of the American Option
• Pricing formula of perpetual Bermudan option
• Pricing of perpetual Bermudan options
• Numerical methods for backward Markov chain driven Black-Scholes option pricing
• Randomized binomial tree and pricing of American-style options

This page was built for publication: Pricing of perpetual American and Bermudan options by binomial tree method

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2480271)