Two-dimensional Fourier cosine series expansion method for pricing financial options
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Publication:4903748
Characteristic functions; other transforms (60E10) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for trigonometric approximation and interpolation (65T40) Numerical methods for discrete and fast Fourier transforms (65T50)
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- The stochastic grid bundling method: efficient pricing of Bermudan options and their Greeks
- Pricing American options by a Fourier transform multinomial tree in a conic market
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- Semi-analytical prices for lookback and barrier options under the Heston model
- BENCHOP -- the benchmarking project in option pricing
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