Bermudan option valuation under state-dependent models (Q1622628)
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scientific article; zbMATH DE number 6981384
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Bermudan option valuation under state-dependent models |
scientific article; zbMATH DE number 6981384 |
Statements
Bermudan option valuation under state-dependent models (English)
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19 November 2018
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Bermudan option
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local Lévy model
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defaultable asset
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asymptotic expansion
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Fourier-cosine expansion
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