2017•Journal of Mathematical Analysis and ApplicationsOpen access

Pricing Bermudan options under local Lévy models with default

Anastasia Borovykh, Andrea Pascucci, Cornelis W. Oosterlee

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Key concepts: Mathematics, Martingale (probability theory), Characteristic function (probability theory), Valuation of options, Fourier transform, Exponential function, Greeks, Lévy process

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