A Fourier-based valuation method for Bermudan and barrier options under Heston's model

Research output: Contribution to journal › Article › Scientific › peer-review

86 Citations (Scopus)

Original language	English
Pages (from-to)	439-463
Number of pages	25
Journal	SIAM Journal on Financial Mathematics
Volume	2
DOIs	https://doi.org/10.1137/100794158
Publication status	Published - 2011

Keywords

@article{e44cc3df03c2461babca89caad7ef512,

title = "A Fourier-based valuation method for Bermudan and barrier options under Heston's model",

keywords = "academic journal papers",

author = "F Fang and CW Oosterlee",

year = "2011",

doi = "10.1137/100794158",

language = "English",

volume = "2",

pages = "439--463",

journal = "SIAM Journal on Financial Mathematics",

issn = "1945-497X",

publisher = "Society for Industrial and Applied Mathematics",

}

TY - JOUR

T1 - A Fourier-based valuation method for Bermudan and barrier options under Heston's model

AU - Fang, F

AU - Oosterlee, CW

PY - 2011

Y1 - 2011

KW - academic journal papers

U2 - 10.1137/100794158

DO - 10.1137/100794158

M3 - Article

SN - 1945-497X

VL - 2

SP - 439

EP - 463

JO - SIAM Journal on Financial Mathematics

JF - SIAM Journal on Financial Mathematics

ER -