Analyze contracts across chosen Bermudan exercise windows. Measure Greeks, premium gaps, scenario values, and risk. Build disciplined pricing workflows with clear assumptions and outputs.
Use annualized rates and volatility percentages. Exercise dates should be entered in years, separated by commas.
This sample set shows a typical at-the-money call with quarterly Bermudan exercise opportunities and a standard listed contract multiplier.
| Spot | Strike | Rate % | Dividend % | Volatility % | Maturity | Steps | Type | Exercise Dates | Contracts | Multiplier |
|---|---|---|---|---|---|---|---|---|---|---|
| 100 | 100 | 5 | 1 | 25 | 1.00 | 120 | Call | 0.25, 0.50, 0.75, 1.00 | 1 | 100 |
Bermudan options allow exercise only on selected dates. This calculator applies a Cox-Ross-Rubinstein binomial tree and checks early exercise only on mapped exercise steps.
Greeks are estimated numerically by repricing the contract under small shocks to spot, volatility, rate, and one day of time decay.
A Bermudan option can be exercised on specific dates before expiry. It sits between European options, exercisable only at expiry, and American options, exercisable at nearly any time.
The comparison shows how much selected early exercise rights add. Bermudan prices should usually fall between equivalent European and American prices under the same market assumptions.
Exercise dates define when intrinsic value can replace continuation value. More favorable exercise opportunities can lift price, especially for puts or dividend-sensitive calls.
More steps usually improve stability, but they also increase computation time. Start around 100 to 300 steps and raise them until the price changes only slightly.
It measures the extra value of Bermudan exercise rights relative to a European contract. A larger premium means the selected exercise dates create meaningful flexibility.
No. They are finite-difference estimates from nearby repricing runs. They are practical for analysis, but they may vary slightly with step count and shock size.
Enter maturity and exercise dates in years. For example, 0.25 means three months, 0.50 means six months, and 1.00 means one year.
Very low step counts or extreme assumptions can create invalid risk-neutral probabilities. Increasing steps and checking rates, volatility, dividends, and maturity usually resolves it.
Important Note: All the Calculators listed in this site are for educational purpose only and we do not guarentee the accuracy of results. Please do consult with other sources as well.