Valuation of multidimensional Bermudan options

Shih Feng Huang, Meihui Guo

研究成果: 書貢獻/報告類型篇章同行評審

4 引文 斯高帕斯(Scopus)

摘要

Multi-dimensional option pricing becomes an important topic in financial markets (Franke et al., 2008). Among which, the American-type derivative (e.g. the Bermudan option) pricing is a challenging problem. Unlike the European options which can only be exercised on the expiration date, the owner of a Bermudan option has the right to exercise early on a contractually specified finite set of dates. The dynamic programming approach is a practical and popular approach used to price the Bermudan option (Shreve, 2004, p. 91). In that approach, the option value on each possible early exercise date is set to be the maximum of the payoff associated with immediate exercise, called the intrinsic value, and the discounted conditional expectation of the future option value, called the continuation value. The major problem of the approach lies in the computation of the continuation value.

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主出版物標題Applied Quantitative Finance
主出版物子標題Second Edition
發行者Springer Berlin Heidelberg
頁面295-309
頁數15
ISBN(列印)9783540691778
DOIs
出版狀態已出版 - 2008

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