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Quantitative Finance Volume 2, 2002 - Issue 6
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Research papers

Pricing of perpetual Bermudan options

S I Boyarchenko Department of Economics, The University of Texas, 1 University Station C3100, Austin, TX, 78712‐0301, USA E-mail: [email protected]
&
S Z Levendorskii Department of Financial Management, Rostov State University of Economics, B Sadovaya 69, Rostov‐on‐Don, 344007, Russia E-mail: [email protected]
Pages 432-442 | Received 03 Oct 2001, Accepted 15 Oct 2002, Published online: 15 Jul 2010

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C. E. Phelan, D. Marazzina & G. Germano. (2020) Pricing methods for α-quantile and perpetual early exercise options based on Spitzer identities. Quantitative Finance 20:6, pages 899-918.
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Ghada Alobaidi, Sattar Mansi & Roland Mallier. (2014) Numerical solution of an integral equation for perpetual Bermudan options. International Journal of Computer Mathematics 91:5, pages 1005-1011.
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Bernadette Power & Gavin C. Reid. (2013) Organisational change and performance in long-lived small firms: a real options approach. The European Journal of Finance 19:7-8, pages 791-809.
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FrederikS. Herzberg. (2009) Perpetual Bermudan Continuity Corrections and a Multi-Dimensional Wiener–Hopf Type Result. Stochastic Analysis and Applications 27:1, pages 176-195.
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S Z Levendorskiǐ. (2004) Early exercise boundary and option prices in Lévy driven models. Quantitative Finance 4:5, pages 525-547.
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Articles from other publishers (18)

Sergei Z. Levendorskii. (2023) Efficient inverse Z-transform: sufficient conditions. SSRN Electronic Journal.
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San-Lin Chung & Jr-Yan Wang. (2018) A simple iteration algorithm to price perpetual Bermudan options under the lognormal jump-diffusion-ruin process. Journal of Futures Markets 38:8, pages 898-924.
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Maximilian Gaß, Kathrin Glau & Maximilian Mair. (2017) Magic Points in Finance: Empirical Integration for Parametric Option Pricing. SIAM Journal on Financial Mathematics 8:1, pages 766-803.
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Gianluca Fusai, Guido Germano & Daniele Marazzina. (2016) Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options. European Journal of Operational Research 251:1, pages 124-134.
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Yoshifumi Muroi & Takashi Yamada. (2009) An Explicit Finite Difference Approach to the Pricing Problems of Perpetual Bermudan Options. Asia-Pacific Financial Markets 15:3-4, pages 229-253.
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Jianwei Lin & Jin Liang. (2007) Pricing of perpetual American and Bermudan options by binomial tree method. Frontiers of Mathematics in China 2:2, pages 243-256.
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Svetlana Boyarchenko & Sergei Levendorskiiˇ. (2007) Optimal stopping made easy. Journal of Mathematical Economics 43:2, pages 201-217.
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OLEG KUDRYAVTSEV & SERGEI LEVENDORSKIǏ. (2011) PRICING OF FIRST TOUCH DIGITALS UNDER NORMAL INVERSE GAUSSIAN PROCESSES. International Journal of Theoretical and Applied Finance 09:06, pages 915-949.
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S. Z. Levendorskiǐ. (2011) PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES. International Journal of Theoretical and Applied Finance 07:03, pages 303-335.
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Svetlana I. Boyarchenko & Sergei Z. Levendorskii. (2005) Practical Guide to Real Options in Discrete Time II. SSRN Electronic Journal.
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Sergei Z. Levendorskii. (2004) Pseudo-Diffusions and Quadratic Term Structure Models. SSRN Electronic Journal.
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Svetlana I. Boyarchenko & Sergei Z. Levendorskii. (2004) Practical Guide to Real Options in Discrete Time. SSRN Electronic Journal.
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Svetlana I. Boyarchenko & Sergei Z. Levendorskii. (2022) Efficient Evaluation of Expectations of Functions of a Lévy Process and Its Extremum. II. SSRN Electronic Journal.
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Svetlana I. Boyarchenko & Sergei Z. Levendorskii. (2022) Efficient Inverse Z-Transform and Pricing Barrier and Lookback Options With Discrete Monitoring. SSRN Electronic Journal.
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Svetlana I. Boyarchenko & Sergei Z. Levendorskii. (2022) Efficient Evaluation of Expectations of Functions of a Lévy Process and Its Extremum. SSRN Electronic Journal.
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Jean-Philippe Aguilar & Justin Kirkby. (2021) Closed-form option pricing for exponential Lévy models: a residue approach. SSRN Electronic Journal.
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Carolyn Phelan, Daniele Marazzina & Guido Germano. (2019) Pricing Methods for Alpha-Quantile and Perpetual Early Exercise Options Based on Spitzer Identities. SSRN Electronic Journal.
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Gianluca Fusai. (2016) Spitzer Identity, Wiener-Hopf Factorization and Pricing of Discretely Monitored Exotic Options. SSRN Electronic Journal.
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