Pricing of perpetual American and Bermudan options by binomial tree method

DOI10.1007/S11464-007-0017-2zbMATH Open1133.91429OpenAlexW2196480514MaRDI QIDQ2480271FDOQ2480271

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

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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)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Convergence of Binomial Tree Methods for European/American Path-Dependent Options
• Option pricing: A simplified approach
• Convergence of binomial tree method for American options

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

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