This paper develops integral equation methods to the pricing problems of perpetual Bermudan options. By mathematical derivation, the optimal exercise boundary of perpetual Bermudan options can be determined by an integral-form nonlinear equation which can be solved by a root-finding algorithm....

In this paper, we propose a hybrid Laplace transform and finite difference method to price (finite-maturity) American options, which is applicable to a wide variety of asset price models including the constant elasticity of variance (CEV), hyper-exponential jump–diffusion (HEJD), Markov regime...