The COS method: An efficient Fourier method for pricing financial derivatives

F Fang

Research output: Thesis › Dissertation (TU Delft)

Original language	English
Qualification	Doctor of Philosophy
Awarding Institution	Delft University of Technology
Supervisors/Advisors	Oosterlee, Kees, Promotor
Award date	8 Dec 2010
Place of Publication	Delft
Publisher	Delft University of Technology
Publication status	Published - 2010

Keywords

@phdthesis{6a8cc74551054f2689794ea452b1e7f6,

title = "The COS method: An efficient Fourier method for pricing financial derivatives",

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

author = "F Fang",

year = "2010",

language = "English",

publisher = "Delft University of Technology",

address = "Netherlands",

type = "Dissertation (TU Delft)",

school = "Delft University of Technology",

}