A decomposition approach via Fourier sine transform for valuing American knock-out options with rebates
type: Item
instance of: scholarly article
title: A decomposition approach via Fourier sine transform for valuing American knock-out options with rebates
zbMATH Open document ID: 1386.91164
author: Nhat-Tan Le
author: Tran Vu Khanh
author: D. M. Dang
published in: Journal of Computational and Applied Mathematics
publication date: 2017-02-09T00:00:00Z
full work available at URL: https://ro.uow.edu.au/eispapers/6360
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65M70
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G40
zbMATH DE Number: 6682828
zbMATH Keywords: American barrier options
zbMATH Keywords: decomposition
zbMATH Keywords: Fourier sine transform
zbMATH Keywords: heat equation
zbMATH Keywords: rebate
MaRDI profile type: Publication
OpenAlex ID: W2566496700
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DOI: 10.1016/J.CAM.2016.12.030
description: scientific article; zbMATH DE number 6682828