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AbstractThe pricing of option contracts is one of the classical problems in Mathematical Finance. While useful exact solution formulas exist for simple contracts, typically numerical simulations are mandated due to the fact that standard features, such as early-exercise, preclude the existence of such solutions. In this paper we consider derivatives which generalize the classical Black-Scholes setting by not only admitting the early-exercise feature, but also considering assets which evolve bydoi:10.4208/cicp.190513.131114a fatcat:tblhhtd2j5cy3p63l3uygmvdxq