Two-dimensional Fourier cosine series expansion method for pricing financial options
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Publication:4903748
Characteristic functions; other transforms (60E10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods for trigonometric approximation and interpolation (65T40) Numerical methods for discrete and fast Fourier transforms (65T50) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
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