does anyone have a copy of this paper?

A Series Solution for Bermudan Options

Ingmar Evers

A Series Solution for Bermudan Options

Applied Mathematical Finance

Volume 12, 2005 - Issue 4

Pages 337-349

A Series Solution for Bermudan Options

Ingmar Evers

A Series Solution for Bermudan Options

Applied Mathematical Finance

Volume 12, 2005 - Issue 4

Pages 337-349

Have you tried the illegal scihub service?

Edit: just checked, they have it if you paste the DOI

Edit: just checked, they have it if you paste the DOI

thanks, I wasn't aware of the existence of scihub

Out of curiosity, we're always told that American options are like a melting/solidification problem because of the free boundary (although I think cuch pointed out that water gets mushy so not the melting/solidification of water)

Is there an analogous physical problem for Bermudan options?

Is there an analogous physical problem for Bermudan options?

ppauper wrote:Out of curiosity, we're always told that American options are like a melting/solidification problem because of the free boundary (although I think cuch pointed out that water gets mushy so not the melting/solidification of water)

Is there an analogous physical problem for Bermudan options?

Interesting question. Just speculating -- perhaps if one posited a one-dimensional water-ice interface in which the diffusion coefficient of the water cycled from 0 to D>0 repeatedly, one might get something analogous. So, nothing happens when the diffusion is zero, but then melting proceeds normally when the diffusion is D>0. (Maybe [$]D(t)[$] needs to be periodic with delta function spikes??). I know it sounds quite artificial, but then a one-dimensional water-ice interface (the standard solvable Stefan problem) is also arguably artificial/toy problem.

In my last book, I asked and answered somewhat of a reverse question: is there an exact financial interpretation/analog of the standard 1D Stefan problem? American-style Black-Scholes puts are a rough analog but not an exact map. (Proof: the std Stefan problem is exactly solvable and the American put problem is not; plus the two free boundaries are well-known to be different). Anyway, I was able to come up with a financial analog that, IMO, wasn't too much of a stretch. It's all in Chapter 9: 'Back to basics: update on the discrete dividend problem'.

ok, so it looks like there's no naturally analogous physical problem but it may be possible to create something that's horribly contrived

Yeah, in fact thinking some more, I don't think setting D=0 in-between exercise dates is analogous to Bermudans at all. So, not even sure there is a horribly contrived answer!

Since the most basic Bermudan exercise policy is simply European exercise, maybe the place to start is: what is a physical analog of that one?

Since the most basic Bermudan exercise policy is simply European exercise, maybe the place to start is: what is a physical analog of that one?