Bermudan option valuation under state-dependent models (Q1622628)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Bermudan option valuation under state-dependent models |
scientific article |
Statements
Bermudan option valuation under state-dependent models (English)
0 references
19 November 2018
0 references
Bermudan option
0 references
local Lévy model
0 references
defaultable asset
0 references
asymptotic expansion
0 references
Fourier-cosine expansion
0 references
