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This paper proposes two numerical solution based on Product OptimalQuantization for the pricing of Foreign Echange (FX) linked long term Bermudanoptions e.g. Bermudan Power Reverse Dual Currency options, where we take intoaccount stochastic domestic and foreign interest rates on top of stochastic FXrate, hence we consider a 3-factor model. For these two numerical methods, wegive an estimation of the $L^2$-error induced by such approximations and weillustrate them with market-based examples that highlight the speed of suchmethods.

Quantization-based Bermudan option pricing in the $FX$ world