The price of the Bermudan option: A simple, explicit formula. Issue 9 (3rd May 2023)
- Record Type:
- Journal Article
- Title:
- The price of the Bermudan option: A simple, explicit formula. Issue 9 (3rd May 2023)
- Main Title:
- The price of the Bermudan option: A simple, explicit formula
- Authors:
- Alghalith, Moawia
- Abstract:
- Abstract: We introduce a simple, explicit formula for pricing the Bermudan options. Furthermore, the formula does not require any additional parameter (relative to the European option formula). Moreover, we provide an upper bound for the price.
- Is Part Of:
- Communications in statistics. Volume 52:Issue 9(2023)
- Journal:
- Communications in statistics
- Issue:
- Volume 52:Issue 9(2023)
- Issue Display:
- Volume 52, Issue 9 (2023)
- Year:
- 2023
- Volume:
- 52
- Issue:
- 9
- Issue Sort Value:
- 2023-0052-0009-0000
- Page Start:
- 3174
- Page End:
- 3177
- Publication Date:
- 2023-05-03
- Subjects:
- Bermudan option -- upper bound -- explicit formula -- the generalized Black-Scholes PDE
Mathematical statistics -- Periodicals
Mathematics
Statistics
519.2 - Journal URLs:
- http://www.tandfonline.com/ ↗
- DOI:
- 10.1080/03610926.2021.1969407 ↗
- Languages:
- English
- ISSNs:
- 0361-0926
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library DSC - 3363.432000
British Library DSC - BLDSS-3PM
British Library HMNTS - ELD Digital store - Ingest File:
- 26801.xml