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]

Authors

Nhat-Tan Le

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Duy Minh Dang

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Tran-Vu Khanh

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