Dual Valuation and Hedging of Bermudan Options

Authors:
L. C. G. Rogers
Affiliations:
L.C.G.Rogers@statslab.cam.ac.uk
Venue:
SIAM Journal on Financial Mathematics
Year:
2010

Citing 2
Cited 1

Pricing American Options: A Duality Approach

Operations Research
Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options

Management Science

Pathwise Optimization for Optimal Stopping Problems

Management Science

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Abstract

Some years ago, a different characterization of the value of a Bermudan option was discovered which can be thought of as the viewpoint of the seller of the option, in contrast to the conventional characterization which took the viewpoint of the buyer. Since then, there has been a lot of interest in finding numerical methods which exploit this dual characterization. This paper presents a pure dual algorithm for pricing and hedging Bermudan options.