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An integral equation approach for the valuation of American-style down-and-out calls with rebates

  • Published:2016-01 Issue:2 Volume:71 Page:544-564
  • ISSN:0898-1221
  • Container-title:Computers & Mathematics with Applications
  • language:en
  • Short-container-title:Computers & Mathematics with Applications

Author:

Le Nhat-TanORCID,Zhu Song-Ping,Lu Xiaoping

Publisher

Elsevier BV

Subject

Computational Mathematics,Computational Theory and Mathematics,Modeling and Simulation

Reference20 articles.

1. Theory of rational option pricing;Merton;Bell J. Econ. Manage. Sci.,1973

2. Breaking down the barriers;Rubinstein;Risk,1991

3. The mathematical foundations of barrier option-pricing theory;Rich;Adv. Futures Options Res.,1994

4. On pricing barrier options;Ritchken;J. Deriv.,1995

5. Bumping up against the barrier with the binomial method;Boyle;J. Deriv.,1994

Cited by 8 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Valuing rebate options and equity-linked products;The North American Journal of Economics and Finance;2023-09

2. Barrier Options and Greeks: Modeling with Neural Networks;Axioms;2023-04-17

3. Approximation of single‐barrier options partial differential equations using feed‐forward neural network;Applied Stochastic Models in Business and Industry;2022-08-19

4. A new integral equation approach for pricing American-style barrier options with rebates;Journal of Computational and Applied Mathematics;2021-02

5. Valuation of non-recourse stock loan using an integral equation approach;Journal of Integral Equations and Applications;2020-06-01
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