The general pricing framework for Bermudan-style options is still risk-neutral valuation with *t*-prices provided as
but augmented to include the owner′s option to choose the exercise time. The fixed exercise date *T* = *t*_{e} is replaced by a random exercise time chosen by the owner, *T*(*ω*). The exercise-time decision can be any rule/strategy chosen by the owner, and can depend on the current and history of the asset evolution, but not on the future, that is, it should be *non-anticipative*. In probability theory, the technical term for a nonanticipative strategy is a *stopping time*.

(0 ≤ *t* ≤ *T*) *C*(*t, ω*) =*ω*)]

Given such a nonanticipative exercise strategy *T*(·), we evaluate the ...

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