Efficient pricing of early-exercise and exotic options based on fourier cosine expansions

B Zhang

Research output: Thesis › Dissertation (TU Delft)

Original language	English
Qualification	Doctor of Philosophy
Awarding Institution	Delft University of Technology
Supervisors/Advisors	Oosterlee, C.W., Supervisor
Award date	4 Jul 2012
Place of Publication	Delft
Publisher	Delft University of Technology
Print ISBNs	978-94-6203-073-2
Publication status	Published - 2012

Keywords

@phdthesis{ee22114adbe040b0b6c919981d3c469d,

title = "Efficient pricing of early-exercise and exotic options based on fourier cosine expansions",

keywords = "Diss. prom. aan TU Delft",

author = "B Zhang",

year = "2012",

language = "English",

isbn = "978-94-6203-073-2",

publisher = "Delft University of Technology",

address = "Netherlands",

type = "Dissertation (TU Delft)",

school = "Delft University of Technology",

}