Pricing Bermudan options under local Lévy models with default (Q2408753)
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scientific article; zbMATH DE number 6791031
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Pricing Bermudan options under local Lévy models with default |
scientific article; zbMATH DE number 6791031 |
Statements
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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0.9137508273124696
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0.8283129930496216
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0.7968578934669495
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0.7889044284820557
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