# Quantization-based Bermudan option pricing in the FX world

Abstract : This paper proposes two numerical solution based on Product Optimal Quan-tization for the pricing of Foreign Echange (FX) linked long term Bermudan options e.g. Bermudan Power Reverse Dual Currency options, where we take into account stochastic domestic and foreign interest rates on top of stochastic FX rate, hence we consider a 3-factor model. For these two numerical methods, we give an estimation of the $L^2$-error induced by such approximations and we illustrate them with market-based examples that highlight the speed of such methods.
Keywords :
Document type :
Preprints, Working Papers, ...
Domain :

Cited literature [32 references]

https://hal.archives-ouvertes.fr/hal-02361667
Contributor : Thibaut Montes <>
Submitted on : Wednesday, November 13, 2019 - 2:49:52 PM
Last modification on : Monday, January 13, 2020 - 1:18:14 AM

### File

PRDC_3F.pdf
Files produced by the author(s)

### Identifiers

• HAL Id : hal-02361667, version 1
• ARXIV : 1911.05462

### Citation

Jean-Michel Fayolle, Vincent Lemaire, Thibaut Montes, Gilles Pagès. Quantization-based Bermudan option pricing in the FX world. 2019. ⟨hal-02361667⟩

Record views