An integral equation approach for the valuation of American-style down-and-out calls with rebates

DOI10.1016/j.camwa.2015.12.013zbMath1443.91331OpenAlexW2228575836MaRDI QIDQ2006630

Xiaoping Lu, Nhat-Tan Le, Song-Ping Zhu

Publication date: 11 October 2020

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2015.12.013

zbMATH Keywords

Fourier sine transformintegral equationoptimal exercise boundaryAmerican-style barrier options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for integral equations (65R20) Derivative securities (option pricing, hedging, etc.) (91G20)

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A simple and fast method for valuing American knock-out options with rebates ⋮ A new integral equation approach for pricing American-style barrier options with rebates ⋮ Valuation of non-recourse stock loan using an integral equation approach ⋮ Pricing American-style Parisian down-and-out call options

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