Total value adjustment of Bermudan option valuation under pure jump Lévy fluctuations
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Processes with independent increments; Lévy processes (60G51) Monte Carlo methods (65C05) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
Cites work
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Cited in
(3)- Boundedness and stability of nonlinear hybrid neutral stochastic delay differential equation with Lévy jumps under different structures
- An optimal control method to compute the most likely transition path for stochastic dynamical systems with jumps
- Computing XVA for American basket derivatives by machine learning techniques
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