A product integration method for the approximation of the early exercise boundary in the American option pricing problem
Author:
Affiliation:
1. Institute for Advanced Studies in Basic Sciences Zanjan Iran
2. Institute for Advanced Studies in Basic Sciences, Zanjan & RiskLab KhatamKhatam University Tehran Iran
Publisher
Wiley
Subject
General Engineering,General Mathematics
Link
https://onlinelibrary.wiley.com/doi/pdf/10.1002/mma.5553
Reference57 articles.
1. Integral Equations and Applications
2. Collocation Methods for Volterra Integral and Related Functional Differential Equations
3. Integral Equations
4. A Mathematical Analysis of the Optimal Exercise Boundary for American Put Options
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1. An Alternative Numerical Scheme to Approximate the Early Exercise Boundary of American Options;Mathematics;2022-12-29
2. A new tight approximation towards the computation of option price;International Journal of Information Technology;2021-05-20
3. A fast sparse spectral method for nonlinear integro-differential Volterra equations with general kernels;Advances in Computational Mathematics;2021-05-07
4. Order allocation model in logistics service supply chain with demand updating and inequity aversion: A perspective of two option contracts comparison;Journal of Industrial & Management Optimization;2021
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