Approximate Bermudan option pricing based on the réduite or cubature: soundness and characterisation of perpetual prices as fixed points

MaRDI QIDQ5437267zbMATH OpenFDO

Authors Frederik Herzberg

Publication date 18 January 2008

Full work available at URL https://arxiv.org/abs/math/0503234

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Probabilistic potential theory (60J45)

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• Efficient pricing of Bermudan options using recombining quadratures

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