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Yuan, Gangnan; Ding, Deng; Duan, Jinqiao; Lu, Weiguo; Wu, Fengyan

Total value adjustment of Bermudan option valuation under pure jump Lévy fluctuations. (English) Zbl 07870664

Chaos 32, No. 2, Article ID 023127, 15 p. (2022).

Cited in 3 Documents

MSC:

91Gxx Actuarial science and mathematical finance
65Mxx Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems
60Gxx Stochastic processes
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Full Text: DOI arXiv

References:

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