The early exercise region for Bermudan options on two underlyings

DOI10.1016/J.MCM.2009.07.009zbMath1185.91177OpenAlexW2001235215MaRDI QIDQ970053

Matt Davison, Henning Rasmussen, Jeff Kay

Publication date: 8 May 2010

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.mcm.2009.07.009

zbMATH Keywords

mathematical financefinancial optionsbermudan optionsoptimal exercise regions

Mathematics Subject Classification ID

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

Related Items (2)

Numerical solution of an integral equation for perpetual Bermudan options ⋮ On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation

Cites Work

• Unnamed Item
• Convergence and biases of Monte Carlo estimates of American option prices using a parametric exercise rule
• On multigrid for anisotropic equations and variational inequalities ``pricing multi-dimensional European and American options
• Efficient Hierarchical Approximation of High‐Dimensional Option Pricing Problems

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