An efficient pricing method for rainbow options based on two-dimensional modified sine–sine series expansions

DOI10.1080/00207160.2012.749349zbMath1277.91195MaRDI QIDQ2855742

Qing-Jiang Meng, Deng Ding

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

zbMATH Keywords

rainbow options; SV model; correlation options; GBM model; modified sine-sine expansions; two-dimensional Fourier expansions

Mathematics Subject Classification ID

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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