Pricing of perpetual Bermudan options
We 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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Volume (Year): 2 (2002)
Issue (Month): 6 ()
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