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

2005/01/17 by Frederik Herzberg, Frederik S Herzberg, Herzberg, Frederik S
Economics, Econometrics and Finance · Mathematics · #60G40 #60G51 #91B28 #Capital Investment and Risk Analysis #FOS: Mathematics #Probability (math.PR) #Stochastic processes and financial applications #math.PR #msc:60G40 #msc:60G51 #msc:91B28

paper · pdf · doi:10.48550/arxiv.math/0501261

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

openalex publication_date 2005/01/17 · arxiv created 2005/09/06 · arxiv updated 2009/12/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

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.

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