A product integration method for the approximation of the early exercise boundary in the American option pricing problem

DOI10.1002/mma.5553zbMath1414.91415arXiv1710.00161OpenAlexW2963090265MaRDI QIDQ5380932

Ali Foroush Bastani, Khadijeh Nedaiasl, Aysan Rafiee

Publication date: 6 June 2019

Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1710.00161

zbMATH Keywords

Volterra integral equationsbarycentric rational interpolationearly exercise boundaryinterpolatory quadratureAmerican options pricing

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for integral equations (65R20) Derivative securities (option pricing, hedging, etc.) (91G20) Approximation by rational functions (41A20) Volterra integral equations (45D05) Singular nonlinear integral equations (45G05)

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