Pricing options under stochastic volatility with Fourier-Cosine expansions

F Fang, CW Oosterlee

Research output: Chapter in Book/Conference proceedings/Edited volumeConference contributionScientificpeer-review

95 Citations (Scopus)
Original languageEnglish
Title of host publicationProgress in Industrial Mathematics at ECMI 2008
EditorsJ Norbury, H Ockendon, E Wilson, AD Fitt
Place of PublicationBerlin
PublisherSpringer
Pages833-838
Number of pages6
ISBN (Print)978-3-642-12109-8
Publication statusPublished - 2010
EventProceedings of the European Conference on Mathematics for Industry, London, England - Berlin
Duration: 30 Jun 20084 Jul 2008

Publication series

Name
PublisherSpringer-Verslag
NameJournal of Mathematics In Industry
Volume15
ISSN (Print)1612-3956

Conference

ConferenceProceedings of the European Conference on Mathematics for Industry, London, England
Period30/06/084/07/08

Keywords

  • conference contrib. refereed
  • Conf.proc. > 3 pag

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