Pricing of perpetual Bermudan options
AbstractWe consider perpetual Bermudan options and more general perpetual American options in discrete time. For wide classes of processes and pay-offs, we obtain exact analytical pricing formulae in terms of the factors in the Wiener-Hopf factorization formulae. Under additional conditions on the process, we derive simpler approximate formulae.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Quantitative Finance.
Volume (Year): 2 (2002)
Issue (Month): 6 ()
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Web page: http://www.tandfonline.com/RQUF20
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- Svetlana Boyarchenko & Sergei Levendorskii, 2005. "Practical guide to real options in discrete time II," Finance 0501014, EconWPA.
- Yoshifumi Muroi & Takashi Yamada, 2008. "An Explicit Finite Difference Approach to the Pricing Problems of Perpetual Bermudan Options," Asia-Pacific Financial Markets, Springer, vol. 15(3), pages 229-253, December.
- Svetlana Boyarchenko & Sergey Levendorskiy, 2004.
"Optimal stopping made easy,"
- Svetlana Boyarchenko & Sergei Levendorskii, 2004.
"Practical guide to real options in discrete time,"
- Svetlana Boyarchenko & Sergei Levendorskii, 2004. "Practical guide to real options in discrete time," Papers cond-mat/0404106, arXiv.org.
- Sergey Levendorskiy & Svetlana Boyarchenko, 2004. "Practical guide to real options in discrete time," Computing in Economics and Finance 2004 137, Society for Computational Economics.
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