Valuing Bermudan options when asset returns are Lévy processes
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Publication:4647599
DOI10.1088/1469-7688/4/1/008zbMath1405.91630OpenAlexW2058751306MaRDI QIDQ4647599
Publication date: 15 January 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1088/1469-7688/4/1/008
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)
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