Fourier Cosine Expansions and Put–Call Relations for Bermudan Options
DOI10.1007/978-3-642-25746-9_10zbMath1248.91097MaRDI QIDQ2917437
Bowen Zhang, Cornelis W. Oosterlee
Publication date: 28 September 2012
Published in: Springer Proceedings in Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-642-25746-9_10
option pricing; error analysis; Fourier-cosine expansions; early-exercise options; put-call parity and duality
91G60: Numerical methods (including Monte Carlo methods)
91G20: Derivative securities (option pricing, hedging, etc.)
65T50: Numerical methods for discrete and fast Fourier transforms
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
65C30: Numerical solutions to stochastic differential and integral equations
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