Abstract
Integral equation methods are now becoming well‐established tools in the study of financial models used in theory and practice. In this paper, we investigate the fully nonlinear weakly singular nonstandard Volterra integral equations representing the early exercise boundary of American option contracts, which gained popularity in recent years. We propose a product integration approach based on linear barycentric rational interpolation to solve the problem. The price of the option will then be computed using the obtained approximation of the early exercise boundary and a barycentric rational quadrature. The convergence of the approximation scheme will also be analyzed. Finally, some numerical experiments based on the introduced method are presented and compared with some exiting approaches.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
