Pricing of perpetual American and Bermudan options by binomial tree method |
| |
| Authors: | Jianwei Lin Jin Liang |
| |
| Institution: | (1) Department of Mathematics, Tongji University, Shanghai, 200092, China;(2) Department of Mathematics, Putian University, Putian, 351100, China |
| |
| Abstract: | In this paper, we consider the binomial tree method for pricing perpetual American and perpetual Bermudan options. The closed
form solutions of these discrete models are solved. Explicit formulas for the optimal exercise boundary of the perpetual American
option is obtained. A nonlinear equation that is satisfied by the optimal exercise boundaries of the perpetual Bermudan option
is found.
|
| |
| Keywords: | binomial tree method perpetual American option perpetual Bermudan option optimal exercise boundary contraction mapping |
| 本文献已被 万方数据 SpringerLink 等数据库收录！ |
|
