We consider a defaultable asset whose risk-neutral pricing dynamics are described by an exponential Lévy-type martingale subject to default. This class of models allows for local volatility, local default intensity and a locally dependent Lévy measure. Generalizing and extending the novel adjoint expansion technique of Pagliarani, Pascucci and Riga [SIAM J. Financial Math. 4 (2013) 265–296], we...
