A decomposition approach via Fourier sine transform for valuing American knock-out options with rebates

DOI10.1016/j.cam.2016.12.030zbMath1386.91164OpenAlexW2566496700MaRDI QIDQ508042

Tran Vu Khanh, Nhat-Tan Le, Duy Minh Dang

Publication date: 9 February 2017

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

Full work available at URL: https://ro.uow.edu.au/eispapers/6360

zbMATH Keywords

Fourier sine transformheat equationdecompositionrebateAmerican barrier 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) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)

Related Items (2)

Valuation of non-recourse stock loan using an integral equation approach ⋮ Pricing American-style Parisian down-and-out call options

Cites Work

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• Quadratic Convergence for Valuing American Options Using a Penalty Method
• BOUNDARY EVOLUTION EQUATIONS FOR AMERICAN OPTIONS
• CONVEXITY OF THE EXERCISE BOUNDARY OF THE AMERICAN PUT OPTION ON A ZERO DIVIDEND ASSET
• Pricing and Hedging American Options Using Approximations by Kim Integral Equations *

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