scientific article; zbMATH DE number 7695075

DOI10.22124/jmm.2023.23444.2096zbMath1524.91153MaRDI QIDQ6156181

Unnamed Author, Mahmoud Hadizadeh, Vahid Fakoor

Publication date: 13 June 2023

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

option pricingasymptotic representationweakly singular kernelnumerical treatmentsnon-standard Volterra integral equation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for integral equations (65R20) Derivative securities (option pricing, hedging, etc.) (91G20) Asymptotics of solutions to integral equations (45M05) Volterra integral equations (45D05)

Cites Work

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• On a nonstandard Volterra type dynamic integral equation on time scales
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• Theoretical Numerical Analysis
• Randomization and the American Put
• A product integration method for the approximation of the early exercise boundary in the American option pricing problem
• A simple iterative method for the valuation of American options

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