Pricing of perpetual Bermudan options

DOI10.1080/14697688.2002.0000010zbMath1405.91591OpenAlexW1974823791MaRDI QIDQ4647228

Svetlana Boyarchenko, Sergei Levendorskii

Publication date: 14 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2002.0000010

zbMATH Keywords

Wiener-Hopf factorizationperpetual American option pricingperpetual Bermudan option pricing

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Magic Points in Finance: Empirical Integration for Parametric Option Pricing ⋮ Early exercise boundary and option prices in Lévy driven models ⋮ Pricing methods for α-quantile and perpetual early exercise options based on Spitzer identities

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