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

F Fang

    Research output: ThesisDissertation (TU Delft)

    Original languageEnglish
    QualificationDoctor of Philosophy
    Awarding Institution
    • Delft University of Technology
    Supervisors/Advisors
    • Oosterlee, C.W., Supervisor
    Award date8 Dec 2010
    Place of PublicationDelft
    Publisher
    Publication statusPublished - 2010

    Keywords

    • Diss. prom. aan TU Delft

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