An integral equation approach for the valuation of American-style down-and-out calls with rebates
type: Item
instance of: scholarly article
title: An integral equation approach for the valuation of American-style down-and-out calls with rebates
zbMATH Open document ID: 1443.91331
author: Nhat-Tan Le
author: Xiaoping Lu
author: Song-Ping Zhu
publication date: 2020-10-11T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65R20
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 7258773
zbMATH Keywords: American-style barrier options
zbMATH Keywords: Fourier sine transform
zbMATH Keywords: integral equation
zbMATH Keywords: optimal exercise boundary
MaRDI profile type: Publication
full work available at URL: j.camwa.2015.12.013
OpenAlex ID: W2228575836
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DOI: 10.1016/J.CAMWA.2015.12.013
published in: Computers & Mathematics with Applications
description: scientific article; zbMATH DE number 7258773