Pricing formula of perpetual Bermudan option
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Publication:3402664
zbMATH Open1199.91215MaRDI QIDQ3402664FDOQ3402664
Authors: Jianwei Lin 
Publication date: 12 February 2010
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- Numerical solution of an integral equation for perpetual Bermudan options
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)
Cited In (8)
- Closed-form solutions of American perpetual put option under a structurally changing asset
- An explicit finite difference approach to the pricing problems of perpetual Bermudan options
- Perpetual Bermudan Continuity Corrections and a Multi-Dimensional Wiener–Hopf Type Result
- Numerical solution of an integral equation for perpetual Bermudan options
- Pricing of perpetual American and Bermudan options by binomial tree method
- 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
- Pricing of perpetual Bermudan options
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