True martingales for upper bounds on Bermudan option prices under jump-diffusion processes.

Helin Zhu Fan Ye Enlu Zhou

Published in: WSC (2013)

Keyphrases

diffusion processes
upper bound
lower bound
diffusion process
denoising
partial differential equations
information diffusion
anisotropic diffusion
scale spaces
payoff functions
markov chain
diffusion tensor
multiscale
nonlinear diffusion
noise removal
image denoising
object recognition