scientific article; zbMATH DE number 6770714

MaRDI QIDQ5355345zbMATH OpenFDO

Authors Khadijeh Nedaiasl, Ali Foroush Bastani

Publication date 7 September 2017

Full work available at URL http://www.emis.de/journals/DRNA/12.html

Mathematics Subject Classification ID

Volterra integral equations (45D05) Numerical methods for integral equations (65R20) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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(4)

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• A product integration method for the approximation of the early exercise boundary in the American option pricing problem

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