Pricing early-exercise and discrete barrier options by fourier-cosine series expansions

Report (2008)

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

2008

Language

Undefined/Unknown

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Research Group

Old - EWI Sect. Numerical Analysis