A simple and fast method for valuing American knock-out options with rebates

Author:

Park Kyunghyun,Jeon Junkee

Funder

NRF

Publisher

Elsevier BV

Subject

General Mathematics,General Physics and Astronomy,Statistical and Nonlinear Physics,Applied Mathematics

Reference15 articles.

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

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

3. Currency-translated foreign equity options with path dependent features and their multi-asset extensions;Kwok;Int J Theor Appl Finance,2000

4. An integral equation approach for the valuation of American-style down-and-out calls with rebates;Le;Comput Math Appl,2016

5. A decomposition approach via fourier sine transform for valuing american knock-out options with rebates;Le;J Comput Appl Math,2016

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