# Questions tagged [bermudan]

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47 views

### Hedge robustness of the one factor Hull White model

I recently came across a quote in a book: "All single factor models share the limitation that shifts in curve levels cause shifts in the package of vanilla options that are a good hedge for the ...
30 views

### Option style with grant date

The following option exercise style is somewhere between American and European: There is a fixed grant date $N_1$ at which you determine at which date $N_2>N_1$ the option will be exercised. So ...
468 views

### Pricing back swaptions corresponding to underlying swaps of Bermudan Swaption in calibrated LMM

I do not know to which swaption volatility matrix I have to calibrate the LMM in order to price back correctly the swaptions corresponding to the underlying swaps of a Bermudan Swaption. My problem: ...
216 views

### How to price an option with a “step up” feature using binomial tree?

I have a call option with expiry in two years. In my case the option is bermudan style with first 9 months w/o ability to exercise (i.e. European) and after exercise at any time (i.e. American), but I ...
57 views

### Inequality involving Co-Terminal/Co-Initial American vs Bermudan Swaptions

Let us consider a payment schedule $\mathcal{P}:=\{t_1,\dots,t_n\}$ which has a corresponding fixing schedule $\mathcal{F}:=\{t_0,\dots,t_{n-1}\}$. We have a series of co-terminal and co-initial swaps ...
14 views

### How to show the Bermudan put option is convex in strike price?

Is there a way to generalise the arbitrage argument for a European put being convex in strike price to the Bermudan option? (i.e. considering two portfolios, showing one has greater value than the ...
15 views

### Introducing initial lockout period for American-Asian options pricing in R

Currently attempting to price American-Bermuda-Asian call options using Monte Carlo simulations as done in Longstaff and Schwartz (2001). The options have an initial lockout period of 3 months, ...
145 views

### Moneyness for Cancellable Swaps

Hi I wanted to know we can assess the moneyness of Cancellable swaps? For example, I have a swap where I am paying the fixed rate and also have an option to cancel this option. How do I assess the ...
157 views

### Is Longstaff-Schwartz best method for Bermudan options?

What is the go-to method for pricing of Bermudan/American options? I've heard the Longstaff-Schwartz method is really popular. Is it better than the other methods generally speaking? If not, which ...