A decomposition approach via Fourier sine transform for valuing American knock-out options with rebates

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. Computational Applied Mathematics, 317:652-671, 2017. [doi]

Abstract

Abstract is missing.