Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions

DOI10.1007/s00211-009-0252-4zbMath1185.91176OpenAlexW1988893020MaRDI QIDQ849055

Publication date: 24 February 2010

Published in: Numerische Mathematik (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00211-009-0252-4

zbMATH Keywords

series expansion barrier options Fourier-cosine pricing method

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for trigonometric approximation and interpolation (65T40) Numerical integration (65D30)

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