A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model
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Publication:5388671
DOI10.1137/100794158zbMath1236.65163OpenAlexW2098723598MaRDI QIDQ5388671
Fang Fang, Cornelis W. Oosterlee
Publication date: 19 April 2012
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/100794158
Numerical methods (including Monte Carlo methods) (91G60) Characteristic functions; other transforms (60E10) Numerical methods for trigonometric approximation and interpolation (65T40)
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