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

9 Pages Posted: 8 Aug 2019 Last revised: 30 Apr 2020

See all articles by Moawia Alghalith

Moawia Alghalith

University of the West Indies (UWI)

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

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

Moawia Alghalith (Contact Author)

University of the West Indies (UWI) ( email )

Trinidad and Tobago

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