Fast barrier option pricing by the COS BEM method in Heston model (with Matlab code) (Q6164526)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 7706692
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Fast barrier option pricing by the COS BEM method in Heston model (with Matlab code) |
scientific article; zbMATH DE number 7706692 |
Statements
Fast barrier option pricing by the COS BEM method in Heston model (with Matlab code) (English)
0 references
4 July 2023
0 references
Heston model
0 references
barrier options
0 references
boundary element method
0 references
cosine expansion
0 references
Fourier inverse transform
0 references
0 references
0 references
0 references
0 references
0.8436101078987122
0 references
0.841515302658081
0 references
0.8403818607330322
0 references
0.8239225745201111
0 references
0.8194998502731323
0 references
