A new integral equation approach for pricing American-style barrier options with rebates
From MaRDI portal
Publication:2199770
DOI10.1016/j.cam.2020.113107zbMath1448.91298MaRDI QIDQ2199770
Publication date: 14 September 2020
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2020.113107
integral equation; semi-analytical solution; incomplete Fourier transform; American-style; barrier options with rebates
60G40: Stopping times; optimal stopping problems; gambling theory
91G20: Derivative securities (option pricing, hedging, etc.)
35Q91: PDEs in connection with game theory, economics, social and behavioral sciences
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