Bermudan option in Singapore savings bonds

DOI10.1007/S11147-020-09168-YzbMath1467.91190OpenAlexW3043789461MaRDI QIDQ2036855

Kian-Guan Lim

Publication date: 30 June 2021

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/lkcsb_research/6616

zbMATH Keywords

bespoke Bermudan optioniterative Black-Derman-Toy modelSingapore savings bondsspot rate model

Mathematics Subject Classification ID

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

Cites Work

• Unnamed Item
• American put options with a finite set of exercisable time epochs
• Calibrating the Black-Derman-Toy model: some theoretical results
• A Simple Derivation of and Improvements to Jamshidian's and Rogers' Upper Bound Methods for Bermudan Options
• Interest rate models -- theory and practice

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