A Simple Derivation of and Improvements to Jamshidian's and Rogers' Upper Bound Methods for Bermudan Options

DOI10.1080/13504860600858071zbMATH Open1186.91194OpenAlexW1975916402MaRDI QIDQ5310693FDOQ5310693

Authors: Mark Joshi 

Publication date: 11 October 2007

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11343/34297

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zbMATH Keywords

Monte Carloupper boundsBermudan optionsearly exercise

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10)

Cites Work

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• Monte Carlo valuation of American options
• Additive and multiplicative duals for American option pricing
• Pricing American Options: A Duality Approach

Cited In (13)

• Upper bounds for Bermudan options on Markovian data using nonparametric regression and a reduced number of nested Monte Carlo steps
• Smooth simultaneous calibration of the LMM to caplets and co-terminal swaptions
• Simple improvement method for upper bound of American option
• Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies
• Bermudan option in Singapore savings bonds
• A new class of dual upper bounds for early exercisable derivatives encompassing both the additive and multiplicative bounds
• Improved lower and upper bound algorithms for pricing American options by simulation
• Title not available (Why is that?)
• Analysing the bias in the primal-dual upper bound method for early exercisable derivatives: bounds, estimation and removal
• A perturbative approach to Bermudan options pricing with applications
• Upper Bounds for Bermudan Style Derivatives
• Multilevel dual approach for pricing American style derivatives
• Recursive lower and dual upper bounds for Bermudan-style options

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