A simple iteration algorithm to price perpetual Bermudan options under the lognormal jump-diffusion-ruin process-Reference-Cited by-同舟云学术

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A simple iteration algorithm to price perpetual Bermudan options under the lognormal jump-diffusion-ruin process

Published:2018-03-26 Issue:8 Volume:38 Page:898-924
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:J Futures Markets

Author:

Chung San-Lin¹,Wang Jr-Yan²^ORCID

Affiliation:

1. Department of Finance; National Taiwan University; Taipei Taiwan

2. Department of International Business; National Taiwan University; Taipei Taiwan

Funder

Ministry of Science and Technology, Taiwan

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Reference22 articles.

1. Numerical solution of an integral equation for perpetual Bermudan options;Alobaidi;International Journal of Computer Mathematics,2014

2. Jump diffusion option valuation in discrete time;Amin;Journal of Finance,1993

3. Universal option valuation using quadrature methods;Andricopoulos;Journal of Financial Economics,2003

4. The pricing of options and corporate liabilities;Black;Journal of Political Economy,1973

5. Pricing of perpetual Bermudan options;Boyarchenko;Quantitative Finance,2002

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