A new integral equation approach for pricing American-style barrier options with rebates

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Stopping times; optimal stopping problems; gambling theory (60G40)

Cites Work

A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
The Valuation of American Options on Multiple Assets
Title not available (Why is that?)
Stock Price Distributions with Stochastic Volatility: An Analytic Approach
An explicit finite difference approach to the pricing of barrier options
Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
Pricing and Hedging American Options Using Approximations by Kim Integral Equations *
A simple iterative method for the valuation of American options
On optimal stopping and free boundary problems
The valuation of American barrier options using the decomposition technique
Multi‐asset barrier options and occupation time derivatives
Pricing puttable convertible bonds with integral equation approaches
Analysis of the Optimal Exercise Boundary of American Options for Jump Diffusions
Title not available (Why is that?)
The Valuation of American Options for a Class of Diffusion Processes
A new integral equation formulation for American put options
PRICING AND HEDGING AMERICAN BARRIER OPTIONS BY A MODIFIED BINOMIAL METHOD
Two extensions to barrier option valuation
How should a local regime-switching model be calibrated?
An integral equation approach for the valuation of American-style down-and-out calls with rebates
Numerical analysis of time fractional Black-Scholes European option pricing model arising in financial market
INTEGRAL EQUATION FORMULATION FOR SHOUT OPTIONS

Cited In (9)

High-performance computation of pricing two-asset American options under the Merton jump-diffusion model on a GPU
Perpetual cancellable American options with convertible features
A new approach for pricing discounted American options
Title not available (Why is that?)
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
Static replication of barrier-type options via integral equations

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