Pricing early-exercise and discrete barrier options by fourier-cosine series expansions
Journal Article
(2009)
Author(s)
Fang Fang (TU Delft - Old - EWI Sect. Numerical Analysis)
CW Oosterlee (TU Delft - Numerical Analysis)
Research Group
Old - EWI Sect. Numerical Analysis
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https://resolver.tudelft.nl/uuid:360defb0-6e8f-433d-bb7b-5c882bce780c
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Publication Year
2009
Research Group
Old - EWI Sect. Numerical Analysis
Volume number
114
Pages (from-to)
27-62
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