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

Yoshifumi Muroi, Takashi Yamada

研究成果: Article査読

2 被引用数 (Scopus)

抄録

The pricing problem of options with an early exercise feature, such as American options, is one of the important topics in mathematical finance. Pricing formulas for options with the early exercise feature, however, are not easy to obtain and the numerical methods are thus frequently required to derive the price of these options. The value function of perpetual Bermudan options is characterized with the partial differential equation and this is solved by the finite difference method in this article.

本文言語English
ページ(範囲)229-253
ページ数25
ジャーナルAsia-Pacific Financial Markets
15
3-4
DOI
出版ステータスPublished - 2008 12
外部発表はい

ASJC Scopus subject areas

  • 財務

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