OpenAlex | Pricing Bermudan options under local Lévy models with default

Pricing Bermudan options under local Lévy models with default

Work

Year: 2017

Type: article

Source: Journal of Mathematical Analysis and Applications

Authors Anastasia Borovykh, Andrea Pascucci, Cornelis W. Oosterlee

Institutions University of Bologna, Delft University of Technology, Centrum Wiskunde & Informatica

Cites: 19

Cited by: 9

Related to: 10

FWCI: 2.153

Citation percentile (by year/subfield): 82.34

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: bronze