Koebrugge, J. (2008) Pricing high-dimensional Bermudan Options: an iterative construction of the optimal stopping time. Bachelor's Thesis, Industrial Engineering and Management.
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Abstract
In this paper one specific method to price Bermudan options is discussed. This method is developed by Kolodko and Schoenmakers [7]. The main result is an iterative construction of a lower and upper bound of the Snell envelope via a convergent sequence of stopping families. This sequence converges to the optimal stopping time. With this method one can approximate the Snell envelope from below and from above.
| Item Type: | Thesis (Bachelor's Thesis) |
|---|---|
| Degree programme: | Industrial Engineering and Management |
| Thesis type: | Bachelor's Thesis |
| Language: | English |
| Date Deposited: | 15 Feb 2018 07:28 |
| Last Modified: | 15 Feb 2018 07:28 |
| URI: | https://fse.studenttheses.ub.rug.nl/id/eprint/8448 |
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