Two-Step Bermudan Put Options

Posted by Chun-Yuan Chiu

Initial underlying asset price
Strike price
Time to maturity Years
Risk free interest rate (annulized)
Volatility (annulized)
Time to early exercise point Years
Option value


Derivation of the Pricing Formulae for Two-Step Bermudan Put Options

A closed form solution for pricing two-step Bermudan put options, a discrete type of American style option which allows early-exercise at only one point. The calculation is based on the Black-Scholes model

Tagged: Bermudan Option, American Option

 •  Mar 1, 2014  • 

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