Fourier Cosine Expansions and Put–Call Relations for Bermudan Options (Q2917437)

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Fourier Cosine Expansions and Put–Call Relations for Bermudan Options
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    title
    Fourier Cosine Expansions and Put–Call Relations for Bermudan Options (English)
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    publication date
    28 September 2012
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    Mathematics Subject Classification ID
    91G60
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    91G20
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    65T50
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    65C30
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    60H35
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    zbMATH DE Number
    6088205
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    zbMATH Keywords
    early-exercise options
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    error analysis
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    Fourier-cosine expansions
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    option pricing
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    put-call parity and duality
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    author
    Bowen Zhang
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    Cornelis W. Oosterlee
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    OpenAlex ID
    W135138975
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