A matched asymptotic expansions approach to continuity corrections for discretely sampled options. Part 2: Bermudan options
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- Lord, Roger & Fang, Fang & Bervoets, Frank & Oosterlee, Kees, 2007. "A fast and accurate FFT-based method for pricing early-exercise options under Lévy processes," MPRA Paper 1952, University Library of Munich, Germany.
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