An efficient pricing algorithm for swing options based on Fourier cosine expansions

Report (2010)

Authors

B. Zhang (TU Delft - Numerical Analysis)

CW Oosterlee (TU Delft - Numerical Analysis)

Research Group

Numerical Analysis

Geen BTA classificatie Departmental working papers

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Publication Year

2010

Language

English

Research Group

Numerical Analysis

Volume number

Reports of the Department of Applied Mathematics

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