Pricing Bermudan options under local Lévy models with default

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Authors: A. Borovykh, A. Pascucci, C.W. Oosterlee

Journal title: Journal of Mathematical Analysis and Applications

Journal number: 450/2

Journal publisher: Academic Press

Published year: 2017

Published pages: 929-953

DOI identifier: 10.1016/j.jmaa.2017.01.071

ISSN: 0022-247X