An efficient pricing method for rainbow options based on two-dimensional modified sine-sine series expansions

Qing-Jiang Meng, Deng Ding. An efficient pricing method for rainbow options based on two-dimensional modified sine-sine series expansions. Int. J. Comput. Math., 90(5):1096-1113, 2013. [doi]

Authors

Qing-Jiang Meng

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Deng Ding

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