"A decomposition approach via Fourier sine transform for valuing American ..."

Nhat-Tan Le, Duy-Minh Dang, Tran-Vu Khanh (2017)

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DOI: 10.1016/J.CAM.2016.12.030

access: closed

type: Journal Article

metadata version: 2020-02-20

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Nhat-Tan Le, Duy-Minh Dang, Tran-Vu Khanh:
A decomposition approach via Fourier sine transform for valuing American knock-out options with rebates. J. Comput. Appl. Math. 317: 652-671 (2017)

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