Recent approaches to multidimensional Bermudan option pricing and the extrapolation to American option prices

Details Recent approaches to multidimensional Bermudan option pricing and the extrapolation to American option prices Recent approaches to multidimensional Bermudan option pricing and the extrapolation to American option prices

2005-01-17

arxiv.org/abs/math/0501261v7

Mathematics

Probability

117 pages including appendix and references; preliminary report on doctoral thesis

Scientific paper

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.

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