Valuing Bermudan options when asset returns are Lévy processes

DOI10.1088/1469-7688/4/1/008zbMATH Open1405.91630OpenAlexW2058751306MaRDI QIDQ4647599FDOQ4647599

Authors: Evis këllezi, Nick Webber 

Publication date: 15 January 2019

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

Full work available at URL: https://doi.org/10.1088/1469-7688/4/1/008

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zbMATH Keywords

Bermudan optionsasset returnsLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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Cited In (12)

• A discrete time approach for modeling two-factor mean-reverting stochastic processes
• Bermudan option valuation under state-dependent models
• Pricing Bermudan options under local Lévy models with default
• A fast and accurate lattice model to evaluate options under the variance gamma process
• Fast estimation of true bounds on Bermudan option prices under jump-diffusion processes
• Multinomial method for option pricing under variance gamma
• Exotic options under Lévy models: an overview
• Pricing Bermudan options in Lévy process models
• Hedging jump risk, expected returns and risk premia in jump-diffusion economies
• Pricing surrender risk in Ratchet equity-index annuities under regime-switching Lévy processes
• Valuation of American options under the CGMY model
• Timing portfolio strategies with exponential Lévy processes

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