A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
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Publication:99433
DOI10.1137/080718061zbMath1186.91214OpenAlexW2167698785MaRDI QIDQ99433
F. Fang, C. W. Oosterlee, Fang Fang, Cornelis W. Oosterlee
Publication date: January 2009
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/080718061
Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Characteristic functions; other transforms (60E10) Trigonometric approximation (42A10) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for trigonometric approximation and interpolation (65T40)
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