Pricing Bermudan options under Merton jump-diffusion asset dynamics

DOI10.1080/00207160.2015.1070838MaRDI QIDQ2804498zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• A jump-diffusion model for option pricing
• A novel pricing method for European options based on Fourier-cosine series expansions
• Monte Carlo methods for security pricing
• Option pricing when underlying stock returns are discontinuous
• Pricing American-style securities using simulation
• The Greatest of a Finite Set of Random Variables
• Two-dimensional Fourier cosine series expansion method for pricing financial options
• Valuation of the early-exercise price for options using simulations and nonparametric regression
• Valuing American options by simulation: a simple least-squares approach

Cited in

(10)

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

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