An efficient pricing method for rainbow options based on two-dimensional modified sine–sine series expansions
DOI10.1080/00207160.2012.749349zbMath1277.91195MaRDI QIDQ2855742
Publication date: 22 October 2013
Published in: International Journal of Computer Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207160.2012.749349
rainbow options; SV model; correlation options; GBM model; modified sine-sine expansions; two-dimensional Fourier expansions
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G60: Numerical methods (including Monte Carlo methods)
60E10: Characteristic functions; other transforms
91G20: Derivative securities (option pricing, hedging, etc.)
65T40: Numerical methods for trigonometric approximation and interpolation
42B05: Fourier series and coefficients in several variables
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