The COS method for pricing options under uncertain volatility

MJ Ruijter, CW Oosterlee

Research output: Chapter in Book/Conference proceedings/Edited volume › Chapter › Scientific

3 Citations (Scopus)

Original language	English
Title of host publication	Topics in Numerical Methods for Finance
Editors	M Cummins, JJH Miller, F Murphy
Place of Publication	New York, USA
Publisher	Springer
Pages	95-113
Number of pages	204
ISBN (Print)	978-1-4614-3432-0
DOIs	https://doi.org/doi:10.1007/978-1-4614-3433-7_6
Publication status	Published - 2012

Access to Document

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title = "The COS method for pricing options under uncertain volatility",

author = "MJ Ruijter and CW Oosterlee",

year = "2012",

doi = "doi:10.1007/978-1-4614-3433-7_6",

language = "English",

isbn = "978-1-4614-3432-0",

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booktitle = "Topics in Numerical Methods for Finance",

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TY - CHAP

T1 - The COS method for pricing options under uncertain volatility

AU - Ruijter, MJ

AU - Oosterlee, CW

PY - 2012

Y1 - 2012

U2 - doi:10.1007/978-1-4614-3433-7_6

DO - doi:10.1007/978-1-4614-3433-7_6

M3 - Chapter

SN - 978-1-4614-3432-0

SP - 95

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BT - Topics in Numerical Methods for Finance

A2 - Cummins, M

A2 - Miller, JJH

A2 - Murphy, F

PB - Springer

CY - New York, USA

ER -