A Simple Derivation of and Improvements to Jamshidian's and Rogers' Upper Bound Methods for Bermudan Options

DOI10.1080/13504860600858071zbMath1186.91194OpenAlexW1975916402MaRDI QIDQ5310693

Mark S. Joshi

Publication date: 11 October 2007

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11343/34297

zbMATH Keywords

upper boundsMonte Carloearly exerciseBermudan options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10)

Related Items (9)

Multilevel dual approach for pricing American style derivatives ⋮ Smooth simultaneous calibration of the LMM to caplets and co-terminal swaptions ⋮ Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies ⋮ Recursive lower and dual upper bounds for Bermudan-style options ⋮ A new class of dual upper bounds for early exercisable derivatives encompassing both the additive and multiplicative bounds ⋮ Improved lower and upper bound algorithms for pricing American options by simulation ⋮ Bermudan option in Singapore savings bonds ⋮ Simple improvement method for upper bound of American option ⋮ Analysing the bias in the primal-dual upper bound method for early exercisable derivatives: bounds, estimation and removal

Cites Work

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• Additive and multiplicative duals for American option pricing
• Pricing American Options: A Duality Approach
• Monte Carlo valuation of American options

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