Numerical solution of an integral equation for perpetual Bermudan options

DOI10.1080/00207160.2013.817569zbMath1297.91145OpenAlexW1995793258MaRDI QIDQ2921908

Sattar Mansi, Ghada Alobaidi, Roland Mallier

Publication date: 14 October 2014

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

Full work available at URL: https://doi.org/10.1080/00207160.2013.817569

zbMATH Keywords

integral equationsGreen's functionsBermudan optionsWiener-Hopf problems

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical integration (65D30) Fundamental solutions, Green's function methods, etc. for initial value and initial-boundary value problems involving PDEs (65M80)

Uses Software

• Maple

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• An explicit finite difference approach to the pricing problems of perpetual Bermudan options
• The early exercise region for Bermudan options on two underlyings
• Pricing of perpetual American and Bermudan options by binomial tree method
• Collocation Methods for Volterra Integral and Related Functional Differential Equations

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