Download This PaperThe price of the Bermudan option: A simple, explicit formula
5 Pages Posted: 8 Aug 2019 Last revised: 30 Apr 2020
Date Written: August 4, 2019
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.
Keywords: Bermudan option pricing, closed-form formula, the generalized Black-Scholes PDE, Alghalith (2018)
JEL Classification: G0, C0, C5
Suggested Citation: Suggested Citation
Alghalith, Moawia, The price of the Bermudan option: A simple, explicit formula (August 4, 2019). Available at SSRN: https://ssrn.com/abstract=3432021 or http://dx.doi.org/10.2139/ssrn.3432021
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