A novel pricing method for European options based on Fourier-cosine series expansions
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Publication:99433
DOI10.1137/080718061zbMATH Open1186.91214OpenAlexW2167698785MaRDI QIDQ99433FDOQ99433
Authors: F. Fang, C. W. Oosterlee, Fang Fang, Cornelis W. Oosterlee 
Publication date: January 2009
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/080718061
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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) Trigonometric approximation (42A10) Numerical methods for trigonometric approximation and interpolation (65T40)
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