Hi, I am working on thesis on bermudan options. There are plenty of books and papers regarding these derivatives,their pricing etc., but when it comes to trading I cant find any place where these derivatives are traded. Can anyone help me with this? thanks
I heard it is an open outcry OTC pit not yet electronic, they trade this paper under a group of palm trees outside of a timeshare hotel.
It's embedded in a bunch of structures. For example, a Hybrid Preferred bond contains a implicit short bermudan on credit spread.
Are you telling me that bermudan options as stand-alone product are of no use at all? That buying simple bermudan call is imposible even on OTC ?
No. I'm sure you can go do a bespoke Bermuda on any thing you want. What i'm saying is that Bermudan is most often found in other structured products. That's why they are interesting. Rate swaptions are Bermudan like, for example. But if you want a price for a pure Bermudan, you need to strip them out.
No, they are not. Berm switches do trade in the brokers fairly freuently these days, however. The market was kind-of dead for a while when Fannie/Freddie issuance was down, but recovered a touch because of the issuance of zero-coupon callables.