Pricing early-exercise and discrete barrier options by fourier-cosine series expansions
Report
(2008)
Author(s)
Fang Fang (TU Delft - Old - EWI Sect. Numerical Analysis)
CW Oosterlee (TU Delft - Numerical Analysis)
Research Group
Old - EWI Sect. Numerical Analysis
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Publication Year
2008
Research Group
Old - EWI Sect. Numerical Analysis
Volume number
Reports of the Department of Applied Mathematical Analysis
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