An integral equation approach for the valuation of American-style down-and-out calls with rebates (Q2006630)
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scientific article; zbMATH DE number 7258773
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An integral equation approach for the valuation of American-style down-and-out calls with rebates |
scientific article; zbMATH DE number 7258773 |
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An integral equation approach for the valuation of American-style down-and-out calls with rebates (English)
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11 October 2020
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American-style barrier options
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Fourier sine transform
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integral equation
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optimal exercise boundary
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