Pricing formula of perpetual Bermudan option

MaRDI QIDQ3402664zbMATH OpenFDO

Authors Jianwei Lin

Publication date 12 February 2010

zbMATH Keywords

partial differential equationoptimal exercise boundaryperpetual Bermudan option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(8)

• Numerical solution of an integral equation for perpetual Bermudan options
• Pricing of perpetual American and Bermudan options by binomial tree method
• An explicit finite difference approach to the pricing problems of perpetual Bermudan options
• Closed-form solutions of American perpetual put option under a structurally changing asset
• Pricing of perpetual Bermudan options
• Perpetual Bermudan Continuity Corrections and a Multi-Dimensional Wiener–Hopf Type Result
• Approximate Bermudan option pricing based on the réduite or cubature: soundness and characterisation of perpetual prices as fixed points
• A Series Solution for Bermudan Options

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