Fang, F. (author), Oosterlee, C.W. (author) We develop an efficient Fourier-based numerical method for pricing Bermudan and discretely monitored barrier options under the Heston stochastic volatility model. The two-dimensional pricing problem is dealt with by a combination of a Fourier cosine series expansion, as in [F. Fang and C.W. Oosterlee, SIAM J. Sci. Comput., 31 (2008), pp. 826–848...
journal article 2011