Pricing early-exercise and discrete barrier options by fourier-cosine series expansions

F Fang, CW Oosterlee

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

Keywords

@article{360defb06e8f433dbb7b5c882bce780c,

title = "Pricing early-exercise and discrete barrier options by fourier-cosine series expansions",

keywords = "academic journal papers, CWTS 0.75 <= JFIS < 2.00",

author = "F Fang and CW Oosterlee",

year = "2009",

language = "Undefined/Unknown",

volume = "114",

pages = "27--62",

journal = "Numerische Mathematik",

issn = "0029-599X",

publisher = "Springer",

}