A new integral equation approach for pricing American-style barrier options with rebates
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Publication:2199770
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Cites work
- scientific article; zbMATH DE number 2042813 (Why is no real title available?)
- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A new integral equation formulation for American put options
- A simple iterative method for the valuation of American options
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
- An explicit finite difference approach to the pricing of barrier options
- An integral equation approach for the valuation of American-style down-and-out calls with rebates
- Analysis of the optimal exercise boundary of American options for jump diffusions
- How should a local regime-switching model be calibrated?
- Integral equation formulation for shout options
- Multi‐asset barrier options and occupation time derivatives
- Numerical analysis of time fractional Black-Scholes European option pricing model arising in financial market
- On optimal stopping and free boundary problems
- PRICING AND HEDGING AMERICAN BARRIER OPTIONS BY A MODIFIED BINOMIAL METHOD
- Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching
- Pricing and Hedging American Options Using Approximations by Kim Integral Equations *
- Pricing puttable convertible bonds with integral equation approaches
- Stock price distributions with stochastic volatility: an analytic approach
- The Valuation of American Options on Multiple Assets
- The valuation of American barrier options using the decomposition technique
- The valuation of American options for a class of diffusion processes
- Two extensions to barrier option valuation
Cited in
(11)- High-performance computation of pricing two-asset American options under the Merton jump-diffusion model on a GPU
- A new approach for pricing discounted American options
- Perpetual cancellable American options with convertible features
- CTMC integral equation method for American options under stochastic local volatility models
- A new integral equation formulation for American put options
- Analytic solutions for American partial barrier options by exponential barriers
- An accurate and stable numerical method for option hedge parameters
- An asymptotic computational method for the nonlinear weakly singular integral models in option pricing
- An integral equation approach for the valuation of American-style down-and-out calls with rebates
- Static replication of barrier-type options via integral equations
- A decomposition approach via Fourier sine transform for valuing American knock-out options with rebates
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