Valuation of Multidimensional Bermudan Options

DOI10.1007/978-3-540-69179-2_14MaRDI QIDQ3542263zbMATH OpenOpenAlexFDO

Authors Shifeng Huang, Meihui Guo

Publication date 1 December 2008

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

Full work available at URL https://doi.org/10.1007/978-3-540-69179-2_14

Mathematics Subject Classification ID

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

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Cited in

(12)

• The pricing of Bermudan-style options on correlated assets
• Valuation on an outside-reset option with multiple resettable levels and dates
• Bermudan option in Singapore savings bonds
• Bermudan options pricing formulas in uncertain financial markets
• Dynamic programming and hedging strategies in discrete time
• Dual valuation and hedging of Bermudan options
• Pricing high-dimensional Bermudan options using the stochastic grid method
• On the analytical-numerical valuation of the Bermudan and American options
• Pricing Bermudan Options via Multilevel Approximation Methods
• A perturbative approach to Bermudan options pricing with applications
• Pricing High-Dimensional Bermudan Options with Hierarchical Tensor Formats
• The early exercise region for Bermudan options on two underlyings

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