Bermudan option valuation under state-dependent models

DOI10.1007/978-3-319-66536-8_6zbMath1417.91492OpenAlexW2766899725MaRDI QIDQ1622628

Andrea Pascucci, Anastasia Borovykh, Cornelis W. Oosterlee

Publication date: 19 November 2018

Full work available at URL: http://hdl.handle.net/11585/613260

zbMATH Keywords

asymptotic expansionlocal Lévy modelBermudan optiondefaultable assetFourier-cosine expansion

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

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