Two-dimensional Fourier cosine series expansion method for princing financial options

MJ Ruijter, CW Oosterlee

Research output: Contribution to journalArticleScientificpeer-review

45 Citations (Scopus)
Original languageEnglish
Pages (from-to)B642-B671
JournalSIAM Journal on Scientific Computing
Volume34
Issue number5
DOIs
Publication statusPublished - 2012

Keywords

  • academic journal papers
  • CWTS 0.75 <= JFIS < 2.00

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