A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions

F. Fang, Cornelis W. Oosterlee. A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions. SIAM J. Scientific Computing, 31(2):826-848, 2008. [doi]

Authors

F. Fang

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Cornelis W. Oosterlee

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