A Fourier-based valuation method for Bermudan and barrier options under Heston's model

Fang, F; Oosterlee, C.W.

A Fourier-based valuation method for Bermudan and barrier options under Heston's model

Journal article (2011)

Authors

F Fang Numerical Analysis

C.W. Oosterlee Numerical Analysis

Research Group

Numerical Analysis

To reference this document use:

http://resolver.tudelft.nl/uuid:e44cc3df-03c2-461b-abca-89caad7ef512

More Info

expand_more

Published Date

2011

Language

English

Reuse Rights

Other than for strictly personal use, it is not permitted to download, forward or distribute the text or part of it, without the consent of the author(s) and/or copyright holder(s), unless the work is under an open content license such as Creative Commons.

Research Group

Numerical Analysis

No files available

Metadata only record. There are no files for this journal article.