Fast barrier option pricing by the COS BEM method in Heston model (with Matlab code) (Q6164526)
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scientific article; zbMATH DE number 7706692
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Fast barrier option pricing by the COS BEM method in Heston model (with Matlab code) |
scientific article; zbMATH DE number 7706692 |
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Fast barrier option pricing by the COS BEM method in Heston model (with Matlab code) (English)
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4 July 2023
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Heston model
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barrier options
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boundary element method
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cosine expansion
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Fourier inverse transform
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