@inproceedings{bab39e03ec98442a899aabb66193bb7c,
title = "Bermudan Option Valuation Under State-Dependent Models",
abstract = "We consider a defaultable asset whose risk-neutral pricing dynamics are described by an exponential L{\'e}vy-type martingale. This class of models allows for a local volatility, local default intensity and a locally dependent L{\'e}vy measure. We present a pricing method for Bermudan options based on an analytical approximation of the characteristic function combined with the COS method. Due to a special form of the obtained characteristic function the price can be computed using a fast Fourier transform-based algorithm resulting in a fast and accurate calculation.",
author = "A. Borovykh and A. Pascucci and C.W. Oosterlee",
year = "2017",
month = oct,
day = "25",
doi = "10.1007/978-3-319-66536-8_6",
language = "English",
isbn = "978-3-319-66534-4",
series = "Springer Proceedings in Mathematics & Statistics",
publisher = "Springer",
pages = "127–138",
editor = "Londo{\~n}o, {Jaime A. } and Garrido, {Jos{\'e} } and Jeanblanc, {Monique }",
booktitle = "Actuarial Sciences and Quantitative Finance",
edition = "1",
}