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

F Fang, CW Oosterlee

Research output: Contribution to journalArticleScientificpeer-review

121 Citations (Scopus)
Original languageUndefined/Unknown
Pages (from-to)27-62
Number of pages36
JournalNumerische Mathematik
Volume114
Publication statusPublished - 2009

Keywords

  • academic journal papers
  • CWTS 0.75 <= JFIS < 2.00

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