Pricing Options Under Stochastic Volatility with Fourier-Cosine Series Expansions

DOI10.1007/978-3-642-12110-4_133zbMath1217.91181OpenAlexW1524328244MaRDI QIDQ3007038

Fang Fang, Cornelis W. Oosterlee

Publication date: 21 June 2011

Published in: Progress in Industrial Mathematics at ECMI 2008 (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-12110-4_133

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
• Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options