Fang Fang, Cornelis W. Oosterlee. A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston s Model. SIAM J. Financial Math., 2(1):439-463, 2011. [doi]
@article{FangO11,
title = {A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston s Model},
author = {Fang Fang and Cornelis W. Oosterlee},
year = {2011},
doi = {10.1137/100794158},
url = {http://dx.doi.org/10.1137/100794158},
tags = {rule-based},
researchr = {https://researchr.org/publication/FangO11},
cites = {0},
citedby = {0},
journal = {SIAM J. Financial Math.},
volume = {2},
number = {1},
pages = {439-463},
}