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

MJ Ruijter, CW Oosterlee

Research output: Contribution to journal › Article › Scientific › peer-review

80 Citations (Scopus)

Original language	English
Pages (from-to)	B642-B671
Journal	SIAM Journal on Scientific Computing
Volume	34
Issue number	5
DOIs	https://doi.org/10.1137/120862053
Publication status	Published - 2012

Keywords

@article{961a8056f28e4c288ce474e948b5b40e,

title = "Two-dimensional Fourier cosine series expansion method for princing financial options",

keywords = "academic journal papers, CWTS 0.75 <= JFIS < 2.00",

author = "MJ Ruijter and CW Oosterlee",

year = "2012",

doi = "10.1137/120862053",

language = "English",

volume = "34",

pages = "B642--B671",

journal = "SIAM Journal on Scientific Computing",

issn = "1064-8275",

publisher = "Society for Industrial and Applied Mathematics",

number = "5",

}

TY - JOUR

T1 - Two-dimensional Fourier cosine series expansion method for princing financial options

AU - Ruijter, MJ

AU - Oosterlee, CW

PY - 2012

Y1 - 2012

KW - academic journal papers

KW - CWTS 0.75 <= JFIS < 2.00

U2 - 10.1137/120862053

DO - 10.1137/120862053

M3 - Article

SN - 1064-8275

VL - 34

SP - B642-B671

JO - SIAM Journal on Scientific Computing

JF - SIAM Journal on Scientific Computing

IS - 5

ER -