Pricing Bermudan options under Merton jump-diffusion asset dynamics

DOI10.1080/00207160.2015.1070838zbMath1386.91162OpenAlexW1854095181MaRDI QIDQ2804498

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Publication date: 29 April 2016

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://ir.cwi.nl/pub/23948

zbMATH Keywords

Monte Carlo simulationjump-diffusion processhigh-dimensional problemleast-squares regressionBermudan option

Mathematics Subject Classification ID

Related Items (4)

Stochastic grid bundling method for backward stochastic differential equations ⋮ On pre-commitment aspects of a time-consistent strategy for a mean-variance investor ⋮ Calculation of Exposure Profiles and Sensitivities of Options under the Heston and the Heston Hull-White Models ⋮ European rainbow option values under the two-asset Merton jump-diffusion model

Cites Work

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• A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
• A Jump-Diffusion Model for Option Pricing
• Valuation of the early-exercise price for options using simulations and nonparametric regression
• Monte Carlo methods for security pricing
• Pricing American-style securities using simulation
• Two-Dimensional Fourier Cosine Series Expansion Method for Pricing Financial Options
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• Option pricing when underlying stock returns are discontinuous
• The Greatest of a Finite Set of Random Variables

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