Recent approaches to multidimensional Bermudan option pricing and the extrapolation to American option prices
Probability
2007-05-23 v7
Abstract
A number of Bermudan option pricing methods that are applicable to options on multiple assets are studied in this thesis, one of the dominating questions being the natural scaling needed to extrapolate from Bermudan to American (both approximate and ``exact'') option prices.
Keywords
Cite
@article{arxiv.math/0501261,
title = {Recent approaches to multidimensional Bermudan option pricing and the extrapolation to American option prices},
author = {Frederik S Herzberg},
journal= {arXiv preprint arXiv:math/0501261},
year = {2007}
}
Comments
117 pages including appendix and references; preliminary report on doctoral thesis