The price of the Bermudan option: A simple, explicit formula

Moawia Alghalith

Communications in Statistics - Theory and Methods, 2023, vol. 52, issue 9, 3174-3177

Abstract: We introduce a simple, explicit formula for pricing the Bermudan options. Furthermore, the formula does not require any additional parameter (relative to the European option formula). Moreover, we provide an upper bound for the price.

Date: 2023
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DOI: 10.1080/03610926.2021.1969407

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