An efficient pricing algorithm for swing options based on Fourier cosine expansions

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Original language	English
Pages (from-to)	3-34
Number of pages	32
Journal	The Journal of Computational Finance
Volume	16
Issue number	4
Publication status	Published - 2013

Harvest

Cite this

@article{783983589cf84b159d23792320901701,

title = "An efficient pricing algorithm for swing options based on Fourier cosine expansions",

author = "B Zhang and CW Oosterlee",

note = "Harvest",

year = "2013",

language = "English",

volume = "16",

pages = "3--34",

journal = "The Journal of Computational Finance",

issn = "1460-1559",

publisher = "Incisive Media Ltd.",

number = "4",

}

TY - JOUR

T1 - An efficient pricing algorithm for swing options based on Fourier cosine expansions

AU - Zhang, B

AU - Oosterlee, CW

N1 - Harvest

PY - 2013

Y1 - 2013

UR - http://www.risk.net/journal-of-computational-finance/journal/2275472/volume-16-number-4-summer-2013

UR - http://resolver.tudelft.nl/uuid:5e059ec0-fb45-4944-918a-b96e810deac5

M3 - Article

VL - 16

SP - 3

EP - 34

JO - The Journal of Computational Finance

JF - The Journal of Computational Finance

SN - 1460-1559

IS - 4

ER -