"Total value adjustment of Bermudan option valuation under pure jump ..."

Gangnan Yuan et al. (2021)

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DOI: —

access: open

type: Informal or Other Publication

metadata version: 2021-10-04

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  - electronic edition @ arxiv.org (open access)
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  dblp key:
  - journals/corr/abs-2109-12795
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  - https://dblp.org/rec/journals/corr/abs-2109-12795
Gangnan Yuan, Ding Deng, Jinqiao Duan, Weiguo Lu, Fengyan Wu:
Total value adjustment of Bermudan option valuation under pure jump Lévy fluctuations. CoRR abs/2109.12795 (2021)

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