The COS method for pricing options under uncertain volatility

MJ Ruijter, CW Oosterlee

Research output: Chapter in Book/Conference proceedings/Edited volumeChapterScientific

2 Citations (Scopus)
Original languageEnglish
Title of host publicationTopics in Numerical Methods for Finance
EditorsM Cummins, JJH Miller, F Murphy
Place of PublicationNew York, USA
PublisherSpringer
Pages95-113
Number of pages204
ISBN (Print)978-1-4614-3432-0
DOIs
Publication statusPublished - 2012

Cite this

Ruijter, MJ., & Oosterlee, CW. (2012). The COS method for pricing options under uncertain volatility. In M. Cummins, JJH. Miller, & F. Murphy (Eds.), Topics in Numerical Methods for Finance (pp. 95-113). Springer. https://doi.org/doi:10.1007/978-1-4614-3433-7_6