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International Journal of Computer Mathematics Volume 92, 2015 - Issue 12: Computational Methods in Finance
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SECTION B

Pricing Bermudan options under Merton jump-diffusion asset dynamics

F. CongTU Delft, Delft Institute of Applied Mathematics, Delft, The NetherlandsCorrespondence[email protected]
&
C.W. OosterleeTU Delft, Delft Institute of Applied Mathematics, Delft, The Netherlands;CWI-Centrum Wiskunde & Informatica, Amsterdam, The Netherlands
Pages 2406-2432 | Received 12 Sep 2014, Accepted 25 May 2015, Published online: 14 Aug 2015

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Íñigo Arregui, Álvaro Leitao, Beatriz Salvador & Carlos Vázquez. (2023) Efficient parallel Monte-Carlo techniques for pricing American options including counterparty credit risk. International Journal of Computer Mathematics 0:0, pages 1-21.
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Ki Wai Chau & Cornelis W. Oosterlee. (2019) Stochastic grid bundling method for backward stochastic differential equations. International Journal of Computer Mathematics 96:11, pages 2272-2301.
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Articles from other publishers (11)

Emy Siswanah, Ahmad Mutawaslih Idrus & Muhammad Malik Hakim. (2023) Binomial Method in Bermudan Option. Journal of Multidisciplinary Applied Natural Science.
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Myrsini Ntemi & Constantine Kotropoulos. (2021) A jump-diffusion particle filter for price prediction. Signal Processing 183, pages 107994.
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Lynn Boen. (2020) European rainbow option values under the two-asset Merton jump-diffusion model. Journal of Computational and Applied Mathematics 364, pages 112344.
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Shashi Jain, Álvaro Leitao & Cornelis W. Oosterlee. (2019) Rolling Adjoints: Fast Greeks along Monte Carlo scenarios for early-exercise options. Journal of Computational Science 33, pages 95-112.
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Fei Cong & Cornelis W. Oosterlee. (2016) Accurate and Robust Numerical Methods for the Dynamic Portfolio Management Problem. Computational Economics 49:3, pages 433-458.
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F. Cong & C.W. Oosterlee. (2016) On pre-commitment aspects of a time-consistent strategy for a mean-variance investor. Journal of Economic Dynamics and Control 70, pages 178-193.
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Shashi Jain, Alvaro Leitao Rodriguez & Cornelis W. Oosterlee. (2017) Rolling Adjoints : Fast Greeks Along Monte Carlo Scenarios for Early-Exercise Options. SSRN Electronic Journal.
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Shashi Jain & Patrik Karlsson. (2016) KVA, Mind Your P's and Q's!. SSRN Electronic Journal.
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Fei Cong & Cornelis W. Oosterlee. (2016) On Pre-Commitment Aspects of a Time-Consistent Strategy for a Mean-Variance Investor. SSRN Electronic Journal.
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Fei Cong & Cornelis W. Oosterlee. (2015) Accurate and Robust Numerical Methods for the Dynamic Portfolio Management Problem. SSRN Electronic Journal.
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Qian Feng & Cornelis W. Oosterlee. (2014) Monte Carlo Calculation of Exposure Profiles and Greeks for Bermudan and Barrier Options under the Heston Hull-White Model. SSRN Electronic Journal.
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