Pricing options under stochastic volatility with Fourier-Cosine expansions

Conference paper (2010)

Authors

F Fang Old - EWI Sect. Numerical Analysis
C.W. Oosterlee Numerical Analysis - EEMCS
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