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we should first define some notation before discussing pricing. Let $t_0$ be initial time and $ t_1, . . . , t_M$ be pre-specified exercise dates with $t_0 < t_1 < · · · < t_M = T$ , the final maturity, and $Δt = t_m−t_{m−1}$. Without a loss of generality it is assumed exercise dates are equidistant. To price a Bermudan option, its value is split ...



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