A Simplified Quadrature Approach for Computing Bermudan Option Prices. (17th June 2016)
- Record Type:
- Journal Article
- Title:
- A Simplified Quadrature Approach for Computing Bermudan Option Prices. (17th June 2016)
- Main Title:
- A Simplified Quadrature Approach for Computing Bermudan Option Prices
- Authors:
- Simonato, Jean‐Guy
- Abstract:
- Abstract: We examine a simple quadrature approach to compute the prices of Bermudan options when the value of the corresponding European claim can be computed in closed form, one period before maturity. Using a constant grid of stock prices at early exercise time points, the known value of the European option is used as a smoothing device to enable efficient numerical integ ration with quadrature approaches. Examples with the geometric Brownian motion context and the lognormal jump‐diffusion context are provided.
- Is Part Of:
- International review of finance. Volume 16:Number 4(2016:Dec.)
- Journal:
- International review of finance
- Issue:
- Volume 16:Number 4(2016:Dec.)
- Issue Display:
- Volume 16, Issue 4 (2016)
- Year:
- 2016
- Volume:
- 16
- Issue:
- 4
- Issue Sort Value:
- 2016-0016-0004-0000
- Page Start:
- 647
- Page End:
- 658
- Publication Date:
- 2016-06-17
- Subjects:
- Finance -- Periodicals
Financial institutions -- Periodicals
332.673 - Journal URLs:
- http://onlinelibrary.wiley.com/journal/10.1111/(ISSN)1468-2443 ↗
http://onlinelibrary.wiley.com/ ↗
http://www.blackwell-synergy.com/servlet/useragent?func=showIssues&code=irfi ↗ - DOI:
- 10.1111/irfi.12086 ↗
- Languages:
- English
- ISSNs:
- 1369-412X
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library DSC - 4547.155000
British Library DSC - BLDSS-3PM
British Library HMNTS - ELD Digital store - Ingest File:
- 2522.xml