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

Zhang, B.; Oosterlee, Kees

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

Report (2010)

Authors

B. Zhang Numerical Analysis

Kees Oosterlee Numerical Analysis

Research Group

Numerical Analysis

Departmental working papers

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Published Date

2010

Language

English

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Research Group

Numerical Analysis

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