Pricing early-exercise and discrete barrier options by Fourier-Cosine series expansions

Title

Pricing early-exercise and discrete barrier options by Fourier-Cosine series expansions

Author

Fang, F.
Oosterlee, C.W.

Faculty

Electrical Engineering, Mathematics and Computer Science

Date

2008

To reference this document use:

http://resolver.tudelft.nl/uuid:fbc2502a-d341-4775-a558-44da18c153f0

Publisher

Delft University of Technology, Department of Electrical Engineering, Mathematics and Computer Science, Delft Institute of Applied Mathematics

ISSN

1389-6520

Source

Reports of the Department of Applied Mathematical Analysis, 08-11

Part of collection

Institutional Repository

Document type

report

Rights

(c) 2008 F. Fang; C.W. Oosterlee