A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model (Q5388671)
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scientific article; zbMATH DE number 6025769
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model |
scientific article; zbMATH DE number 6025769 |
Statements
A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model (English)
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19 April 2012
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Heston model
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Bermudan options
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Fourier cosine expansions
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numerical quadrature
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