A new integral equation approach for pricing American-style barrier options with rebates
DOI10.1016/J.CAM.2020.113107zbMATH Open1448.91298OpenAlexW3045917891MaRDI QIDQ2199770FDOQ2199770
Authors: Sha Lin, Xin-Jiang He 
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
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integral equationsemi-analytical solutionincomplete Fourier transformAmerican-stylebarrier 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
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- 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
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Cited In (11)
- 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
- 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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