A simple and fast method for valuing American knock-out options with rebates

DOI10.1016/j.chaos.2017.06.026zbMath1376.91163OpenAlexW2728700869MaRDI QIDQ1681693

Junkee Jeon, Kyunghyun Park

Publication date: 24 November 2017

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2017.06.026

zbMATH Keywords

free boundary problemsnumerical Laplace inversionrebateLaplace-Carson transformsAmerican knock-out options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (4)

A new approach for pricing discounted American options ⋮ Perpetual game options with a multiplied penalty ⋮ Asian-barrier option pricing formulas of uncertain financial market ⋮ Efficient valuation of a variable annuity contract with a surrender option

Cites Work

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• Valuing American options under the CEV model by Laplace-Carson transforms
• Role of noise in a market model with stochastic volatility
• The Fourier-series method for inverting transforms of probability distributions
• Analytic solution for American strangle options using Laplace-Carson transforms
• An integral equation approach for the valuation of American-style down-and-out calls with rebates
• Valuing finite-lived Russian options
• CURRENCY-TRANSLATED FOREIGN EQUITY OPTIONS WITH PATH DEPENDENT FEATURES AND THEIR MULTI-ASSET EXTENSIONS
• VOLATILITY EFFECTS ON THE ESCAPE TIME IN FINANCIAL MARKET MODELS
• The Accurate Numerical Inversion of Laplace Transforms

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