A perturbative approach to Bermudan options pricing with applications

DOI10.1080/14697688.2011.589400zbMath1280.91162OpenAlexW2118138205MaRDI QIDQ5746759

Lorenzo Giada, Roberto Baviera

Publication date: 8 February 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2011.589400

zbMATH Keywords

options applicationsmulti-factor modelsoptions pricingbond yields

Mathematics Subject Classification ID

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

Cites Work

• The longstaff-Schwartz algorithm for Lévy models: results on fast and slow convergence
• An analysis of a least squares regression method for American option pricing
• Iterative construction of the optimal Bermudan stopping time
• The duality of optimal exercise and domineering claims: a Doob–Meyer decomposition approach to the Snell envelope
• Pricing American Options: A Duality Approach
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Monte Carlo valuation of American options
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• BOND MARKET MODEL

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