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

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dc.creatorHerzberg, Frederik S
dc.date2005-01-17
dc.date2005-09-06
dc.date.accessioned2026-07-07T05:16:08Z
dc.date.available2026-07-07T05:16:08Z
dc.descriptionA 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.
dc.description117 pages including appendix and references; preliminary report on doctoral thesis
dc.identifierhttps://arxiv.org/abs/math/0501261
dc.identifierhttp://arxiv.org/abs/math/0501261
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/73876
dc.subjectProbability
dc.subject60G51; 60G40; 91B28
dc.titleRecent approaches to multidimensional Bermudan option pricing and the extrapolation to American option prices
dc.typetext

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