"A Novel Pricing Method for European Options Based on Fourier-Cosine Series ..."

Fang Fang, Cornelis W. Oosterlee (2008)

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DOI: 10.1137/080718061

access: closed

type: Journal Article

metadata version: 2020-07-30

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Fang Fang, Cornelis W. Oosterlee:
A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions. SIAM J. Sci. Comput. 31(2): 826-848 (2008)

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