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

F Fang, CW Oosterlee

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

105 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

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

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AU - Oosterlee, CW

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