The price of the Bermudan option: A simple, explicit formula

DOI10.1080/03610926.2021.1969407OpenAlexW3197300963MaRDI QIDQ6106259

Moawia Alghalith

Publication date: 27 June 2023

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2021.1969407

zbMATH Keywords

upper boundexplicit formulaBermudan optiongeneralized Black-Scholes PDE

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Unnamed Item
• Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates
• Pricing the American options: a closed-form, simple formula
• Pricing the American options using the Black-Scholes pricing formula
• Recursive lower and dual upper bounds for Bermudan-style options
• Robust Pricing of the American Put Option: A Note on Richardson Extrapolation and the Early Exercise Premium
• The optimal method for pricing Bermudan options by simulation
• Pricing Bermudan Options via Multilevel Approximation Methods

This page was built for publication: The price of the Bermudan option: A simple, explicit formula