Pricing of perpetual American and Bermudan options by binomial tree method

DOI10.1007/s11464-007-0017-2zbMath1133.91429OpenAlexW2196480514MaRDI QIDQ2480271

Jianwei Lin, Jin Liang

Publication date: 31 March 2008

Published in: Frontiers of Mathematics in China (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11464-007-0017-2

zbMATH Keywords

contraction mappingoptimal exercise boundaryperpetual American optionbinomial tree methodperpetual bermudan option

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

An explicit finite difference approach to the pricing problems of perpetual Bermudan options ⋮ Numerical solution of an integral equation for perpetual Bermudan options ⋮ Numerical methods for backward Markov chain driven Black-Scholes option pricing ⋮ Exercisability Randomization of the American Option

Cites Work

• Convergence of Binomial Tree Methods for European/American Path-Dependent Options
• Option pricing: A simplified approach
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