Pricing Bermudan options under Merton jump-diffusion asset dynamics

DOI10.1080/00207160.2015.1070838zbMATH Open1386.91162OpenAlexW1854095181MaRDI QIDQ2804498FDOQ2804498

Authors: Fengyu Cong, Cornelis W. Oosterlee 

Publication date: 29 April 2016

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://ir.cwi.nl/pub/23948

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zbMATH Keywords

Monte Carlo simulationjump-diffusion processhigh-dimensional problemleast-squares regressionBermudan option

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Cites Work

• A Jump-Diffusion Model for Option Pricing
• A novel pricing method for European options based on Fourier-cosine series expansions
• Title not available (Why is that?)
• Two-Dimensional Fourier Cosine Series Expansion Method for Pricing Financial Options
• Option pricing when underlying stock returns are discontinuous
• Monte Carlo methods for security pricing
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• The Greatest of a Finite Set of Random Variables
• Valuation of the early-exercise price for options using simulations and nonparametric regression
• Pricing American-style securities using simulation

Cited In (8)

• European rainbow option values under the two-asset Merton jump-diffusion model
• On pre-commitment aspects of a time-consistent strategy for a mean-variance investor
• Fast estimation of true bounds on Bermudan option prices under jump-diffusion processes
• Efficient parallel Monte-Carlo techniques for pricing American options including counterparty credit risk
• Stochastic grid bundling method for backward stochastic differential equations
• Pricing Bermudan Options via Multilevel Approximation Methods
• Calculation of Exposure Profiles and Sensitivities of Options under the Heston and the Heston Hull-White Models
• Pricing Bermudan options using low-discrepancy mesh methods

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