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This document discusses pricing methods for Bermudan swaptions. A Bermudan swaption is an option to enter into a vanilla swap at various exercise dates. It can be priced via backward induction by calculating the continuation value and exercise payoff at each date, and taking the maximum of the two. The future payoff cash flows are specified using a numeraire and conditional expectations, with the underlying payoff being the value if the option is exercised. Density integration methods, PDE approaches, and A

Author

flatronabcdefg

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EN