On an option pricing method based on Fourier-Cosine series expansions

Report (2008)
Faculty
Electrical Engineering, Mathematics and Computer Science (EEMCS) (TU Delft)
Copyright: © 2008 F. Fang; C. W. Oosterlee
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Published Date

2008

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Source:

Reports of the Department of Applied Mathematical Analysis, 08-02

Faculty

Electrical Engineering, Mathematics and Computer Science

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Fang-08-02.pdf
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