کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1136977 | 1489176 | 2009 | 13 صفحه PDF | دانلود رایگان |
This paper investigates the early exercise region for Bermudan options on two underlying assets. We present a set of analytical validation results for the early exercise region which can be used as a means of validating pricing techniques. When all strike prices are identical we show the existence of an intersection point such that for any asset price pair below this point early exercise is always optimal. We develop an approximation to this point in the two asset put case. When the strike prices are not all equal, we show that three separate cases exist for the early exercise region. For a Bermudan put on two assets we present these cases and show that there exists a critical point ϕˆ in which the boundaries of the two asset early exercise region bifurcate. Comparisons are drawn between the Bermudan results presented and the corresponding American option results.
Journal: Mathematical and Computer Modelling - Volume 50, Issues 9–10, November 2009, Pages 1448–1460