Pricing options under stochastic volatility with Fourier-Cosine expansions
Conference Paper
(2010)
Author(s)
F Fang (TU Delft - Old - EWI Sect. Numerical Analysis)
CW Oosterlee (TU Delft - Electrical Engineering, Mathematics and Computer Science)
Research Group
Old - EWI Sect. Numerical Analysis
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Publication Year
2010
Language
English
Research Group
Old - EWI Sect. Numerical Analysis
Pages (from-to)
833-838
Publisher
Springer
ISBN (print)
978-3-642-12109-8
Event
Proceedings of the European Conference on Mathematics for Industry, London, England (2008-06-30 - 2008-07-04), Berlin
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