A Fourier-based valuation method for Bermudan and barrier options under Heston's model
Journal Article
(2011)
Research Group
Numerical Analysis
DOI related publication
https://doi.org/10.1137/100794158
To reference this document use:
https://resolver.tudelft.nl/uuid:e44cc3df-03c2-461b-abca-89caad7ef512
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Publication Year
2011
Language
English
Research Group
Numerical Analysis
Volume number
2
Pages (from-to)
439-463
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