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

B Zhang, CW Oosterlee

Research output: Contribution to journalArticleScientificpeer-review

10 Citations (Scopus)
Original languageEnglish
Pages (from-to)3-34
Number of pages32
JournalThe Journal of Computational Finance
Volume16
Issue number4
Publication statusPublished - 2013

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