A new integral equation approach for pricing American-style barrier options with rebates

DOI10.1016/j.cam.2020.113107zbMath1448.91298OpenAlexW3045917891MaRDI QIDQ2199770

Xin-Jiang He, Sha Lin

Publication date: 14 September 2020

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2020.113107

zbMATH Keywords

integral equationsemi-analytical solutionincomplete Fourier transformAmerican-stylebarrier options with rebates

Mathematics Subject Classification ID

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)

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