Validity of the Symmetry Relationships for Bermudan and American Options

Valery A. Kholodnyi and John F. Price
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Valery A. Kholodnyi: Integrated Energy Services L.C., Iowa, USA
John F. Price: Maharishi University of Management, Iowa, USA

Chapter 8 in Foreign Exchange Option Symmetry, 1998, pp 97-114 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Bermudan Options: General CaseBermudan Call and Put OptionsBermudan Options in the Restricted Binomial Market EnvironmentAmerican Options: General CaseAmerican Call and Put OptionsThe Semilinear Evolution Equation for American OptionsApproximation of American Options by Bermudan OptionsSymmetry at all Levels of Approximation

Date: 1998
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