The early exercise region for Bermudan options on two underlyings

DOI10.1016/J.MCM.2009.07.009MaRDI QIDQ970053zbMATH OpenOpenAlexFDO

Authors Jeff Kay, Matt Davison, Henning Rasmussen

Publication date 8 May 2010

Published in Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.mcm.2009.07.009

zbMATH Keywords

mathematical financefinancial optionsbermudan optionsoptimal exercise regions

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• Exercise regions of American options on several assets
• Valuation of Multidimensional Bermudan Options
• The Valuation of American Options on Multiple Assets
• On the American Option Value Near its Exercise Region
• On the analytical-numerical valuation of the Bermudan and American options

Cites work

• scientific article; zbMATH DE number 1051049 (Why is no real title available?)
• Convergence and biases of Monte Carlo estimates of American option prices using a parametric exercise rule
• Efficient Hierarchical Approximation of High‐Dimensional Option Pricing Problems
• On multigrid for anisotropic equations and variational inequalities ``pricing multi-dimensional European and American options

Cited in

(3)

• Numerical solution of an integral equation for perpetual Bermudan options
• Bermudan option in Singapore savings bonds
• On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation

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