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An Explicit Finite Difference Approach to the Pricing Problems of Perpetual Bermudan Options

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  • Yoshifumi Muroi
  • Takashi Yamada

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  • Yoshifumi Muroi & Takashi Yamada, 2008. "An Explicit Finite Difference Approach to the Pricing Problems of Perpetual Bermudan Options," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 15(3), pages 229-253, December.
    • Handle: RePEc:kap:apfinm:v:15:y:2008:i:3:p:229-253
    DOI: 10.1007/s10690-009-9080-x
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    References listed on IDEAS

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    1. S. I. Boyarchenko & S. Z. Levendorskii, 2002. "Pricing of perpetual Bermudan options," Quantitative Finance, Taylor & Francis Journals, vol. 2(6), pages 432-442.
    2. Brennan, Michael J & Schwartz, Eduardo S, 1977. "The Valuation of American Put Options," Journal of Finance, American Finance Association, vol. 32(2), pages 449-462, May.
    3. M. A. H. Dempster & J. P. Hutton, 1999. "Pricing American Stock Options by Linear Programming," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 229-254, July.
    4. S. D. Jacka, 1991. "Optimal Stopping and the American Put," Mathematical Finance, Wiley Blackwell, vol. 1(2), pages 1-14, April.
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    Cited by:

    1. San‐Lin Chung & Jr‐Yan Wang, 2018. "A simple iteration algorithm to price perpetual Bermudan options under the lognormal jump‐diffusion‐ruin process," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(8), pages 898-924, August.

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