Bermudan option

Bermudan option

An option that can be exercised at a set number of times (unlike European options, which can be exercised only at the expiration date and American options, which can be exercised any time).

Mid-Atlantic Option

An option contract that may only be exercised on certain days. For example, if one buys a Mid-Atlantic call giving him/her the right to buy shares in X expiring on the final Friday in March, the call may only be exercised on certain days, usually one day per month. The term "Mid-Atlantic" comes from the fact that it combines features of a European option, which may only be exercised on the expiration date, and an American option, which may be exercised at any time. A Mid-Atlantic option is also called a Bermudan option.
References in periodicals archive ?
Morgan Stanley Capital Services LLC (MSCS) is the swap counterparty, and the swap includes a Bermudan option that gives the issuer the right, but not the obligation, to reduce the swap notional amount down to an amount not less than the pre-determined minimum notional amounts on the distribution dates.
His research interests within the field of mathematical finance include the LIBOR Market Model, Efficient Calculation of Risk Measures with Monte-Carlo Methods, Pricing of Bermudan Options with Monte-Carlo Methods, and Markov Functional Models.
They will include sophisticated leading-edge financial instruments such as Bermudan Options and provide hedging support including standard derivative and treasury instruments.