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]
@article{FangO08-0,
title = {A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions},
author = {F. Fang and Cornelis W. Oosterlee},
year = {2008},
doi = {10.1137/080718061},
url = {http://dx.doi.org/10.1137/080718061},
tags = {rule-based},
researchr = {https://researchr.org/publication/FangO08-0},
cites = {0},
citedby = {0},
journal = {SIAM J. Scientific Computing},
volume = {31},
number = {2},
pages = {826-848},
}