The COS method: An efficient Fourier method for pricing financial derivatives

Fang, Fang

The COS method: An efficient Fourier method for pricing financial derivatives

Doctoral thesis (2010)

Authors

Fang Fang Old - EWI Sect. Numerical Analysis

Research Group

Old - EWI Sect. Numerical Analysis

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Published Date

2010

Language

English

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Research Group

Old - EWI Sect. Numerical Analysis

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