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

Article ID Journal Published Year Pages File Type
5776358 Journal of Computational and Applied Mathematics 2017 36 Pages PDF
Keywords
Fourier sine transformDecompositionRebateHeat equation
Related Topics
Physical Sciences and Engineering Mathematics Applied Mathematics
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A decomposition approach via Fourier sine transform for valuing American knock-out options with rebates
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Journal of Computational and Applied Mathematics
Journal: Journal of Computational and Applied Mathematics
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