Two-Dimensional Fourier Cosine Series Expansion Method for Pricing Financial Options
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Publication:4903748
DOI10.1137/120862053zbMath1258.91222OpenAlexW2123317156MaRDI QIDQ4903748
M. J. Ruijter, Cornelis W. Oosterlee
Publication date: 24 January 2013
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/120862053
Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Characteristic functions; other transforms (60E10) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for discrete and fast Fourier transforms (65T50) Numerical methods for trigonometric approximation and interpolation (65T40)
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