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finMath.net: Bermudan Option Valuation in a Monte-Carlo Simulation (American Monte-Carlo)

Methodology

For details on the methodology see
Fries, Christian: Mathematical Finance. Theory, Modeling, Implementation. Wiley 2007. ISBN 0-470-04722-4.

Source Code

Source code is available from the finmath lib repository, see http://www.finmath.net/java.

For an example of the valuation of a Bermudan option using a backward algorithm in a single asset (equity) Monte-Carlo model see the class BermudanOption (this class also includes the so called upper bound method for valuation of Bermudan options).

The class uses the class MonteCarloConditionalExpectationRegression to perform the estimation of the conditional expectation using a least-square regression.

Disclaimer

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