Pricing Bermudan options under Merton jump-diffusion asset dynamics

Keyphrases

• Regression-based Method 100%
• Merton Jump Diffusion 100%
• Asset Dynamics 100%
• Bermudan Option 100%
• Pricing Method 50%
• Numerical Test 50%
• Price Distribution 50%
• Asset Prices 50%
• Jump Diffusion 50%
• Option Pricing 50%
• Geometric Brownian Motion 50%
• Traditional Regression 50%
• Control Variates 50%
• Merton Jump-diffusion Model 50%
• Pricing Approach 50%

Mathematics

• Stochastics 100%
• Option Pricing 25%
• Asset Price 25%
• Geometric Brownian Motion 25%
• Diffusion Model 25%
• Control Variate 25%

Economics, Econometrics and Finance

• Pricing 100%
• Price 50%
• Levy Process 50%