Pricing Bermudan options under local Lévy models with default (Q2408753)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing Bermudan options under local Lévy models with default |
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Pricing Bermudan options under local Lévy models with default (English)
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13 October 2017
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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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