Lévy-Sheffer Systems and the Longstaff-Schwartz Algorithm for ...
Lévy-Sheffer Systems and the Longstaff-Schwartz Algorithm for ...
Lévy-Sheffer Systems and the Longstaff-Schwartz Algorithm for ...
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Motivation<br />
◮ Many financial instruments have Bermudan features (Callable,<br />
flippable)<br />
◮ Bermudan swaptions<br />
◮ Cancellable structured notes<br />
◮ Structured notes with flip options