An explicit finite difference approach to the pricing problems of perpetual Bermudan options

DOI10.1007/s10690-009-9080-xzbMath1170.91344OpenAlexW2052470928MaRDI QIDQ842831

Yoshifumi Muroi, Takashi Yamada

Publication date: 25 September 2009

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-009-9080-x

zbMATH Keywords

linear complementarity probleminterior point methodsoptimal stopping problemslinear programming methodsexplicit finite difference methodsperpetual Bermudan optionsPSOR algorithm

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Applications of mathematical programming (90C90) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Numerical solution of an integral equation for perpetual Bermudan options

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