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Geske Johnson pricing of Long Maturity American and Infinite Bermudan Options

Research output: Working paper

Published

Standard

Geske Johnson pricing of Long Maturity American and Infinite Bermudan Options. / Shackleton, M B; Chung, S L.

Lancaster University : The Department of Accounting and Finance, 1999. (Accounting and Finance Working Paper Series).

Research output: Working paper

Harvard

Shackleton, MB & Chung, SL 1999 'Geske Johnson pricing of Long Maturity American and Infinite Bermudan Options' Accounting and Finance Working Paper Series, The Department of Accounting and Finance, Lancaster University.

APA

Shackleton, M. B., & Chung, S. L. (1999). Geske Johnson pricing of Long Maturity American and Infinite Bermudan Options. (Accounting and Finance Working Paper Series). The Department of Accounting and Finance.

Vancouver

Shackleton MB, Chung SL. Geske Johnson pricing of Long Maturity American and Infinite Bermudan Options. Lancaster University: The Department of Accounting and Finance. 1999. (Accounting and Finance Working Paper Series).

Author

Shackleton, M B ; Chung, S L. / Geske Johnson pricing of Long Maturity American and Infinite Bermudan Options. Lancaster University : The Department of Accounting and Finance, 1999. (Accounting and Finance Working Paper Series).

Bibtex

@techreport{f332e54b6e664375b97ddd1628c21865,
title = "Geske Johnson pricing of Long Maturity American and Infinite Bermudan Options",
abstract = "This paper describes general Bermudan options by interexercise time and time to final maturity; a surface with European, American and Infinite Bermudam options as limits, allowing Geske Johnson (1984) two point pricing to be extended to consider time to maturity. A solution is presented for Infinite Bermudans and two point pricing schemes are developed which converge to the Merton solution for long maturity American options and short interexercise Infinite Bermudans. The Geske Johnson extrapolation assumptions are examined and another class of series sum approximations is developed using many two point prices. Comparisons to benchmark methods are made.",
author = "Shackleton, {M B} and Chung, {S L}",
year = "1999",
language = "English",
series = "Accounting and Finance Working Paper Series",
publisher = "The Department of Accounting and Finance",
type = "WorkingPaper",
institution = "The Department of Accounting and Finance",

}

RIS

TY - UNPB

T1 - Geske Johnson pricing of Long Maturity American and Infinite Bermudan Options

AU - Shackleton, M B

AU - Chung, S L

PY - 1999

Y1 - 1999

N2 - This paper describes general Bermudan options by interexercise time and time to final maturity; a surface with European, American and Infinite Bermudam options as limits, allowing Geske Johnson (1984) two point pricing to be extended to consider time to maturity. A solution is presented for Infinite Bermudans and two point pricing schemes are developed which converge to the Merton solution for long maturity American options and short interexercise Infinite Bermudans. The Geske Johnson extrapolation assumptions are examined and another class of series sum approximations is developed using many two point prices. Comparisons to benchmark methods are made.

AB - This paper describes general Bermudan options by interexercise time and time to final maturity; a surface with European, American and Infinite Bermudam options as limits, allowing Geske Johnson (1984) two point pricing to be extended to consider time to maturity. A solution is presented for Infinite Bermudans and two point pricing schemes are developed which converge to the Merton solution for long maturity American options and short interexercise Infinite Bermudans. The Geske Johnson extrapolation assumptions are examined and another class of series sum approximations is developed using many two point prices. Comparisons to benchmark methods are made.

M3 - Working paper

T3 - Accounting and Finance Working Paper Series

BT - Geske Johnson pricing of Long Maturity American and Infinite Bermudan Options

PB - The Department of Accounting and Finance

CY - Lancaster University

ER -