The paper further develops, both from the theoretical and numerical points of view the analytical valuation of the American options, initiated by Geske and Johnson (1984) for the American put with no dividend. We present and prove closed form formulas for the value of the Bermudan put and call,...

Performance-dependent options are financial derivatives whose payoff depends on the performance of one asset in comparison to a set of benchmark assets. This paper presents a novel approach to the valuation of general performance-dependent options. To this end, a multidimensional Black-Scholes...

This paper discusses estimation methods for limited dependent variable (LDV) models that employ Monte Carlo simulation techniques to overcome computational problems in such models. These difficulties take the form of high dimensional integrals that need to be calculated repeatedly but cannot be...