Total value adjustment of Bermudan option valuation under pure jump Lévy fluctuations.

Gangnan Yuan Ding Deng Jinqiao Duan Weiguo Lu Fengyan Wu

Published in: CoRR (2021)

Keyphrases

real option
artificial intelligence
multiscale
multiresolution
material handling
real time
neural network
decision trees
case study
lower bound
decision makers
markov chain