A novel pricing method for european options based on fourier-cosine series expansions

SIAM Journal on Scientific Computing

Volumn 31, Issue 2, 2008, Pages 826-848

  Fang, F ^a   Oosterlee, C W ^b  

^a DELFT UNIVERSITY OF TECHNOLOGY   (Netherlands)

^b CWI   (Netherlands)

Author keywords

Cosine expansion; European options; Fourier ; Option pricing

Indexed keywords

ECONOMICS; FINANCIAL MARKETS; FOURIER SERIES;

CHARACTERISTICS FUNCTIONS; COSINE EXPANSION; COSINE-SERIES; EUROPEAN OPTION; FOURIER; FOURIER-; ITS APPLICATIONS; OPTIONS PRICING; PRICING METHODS; SERIES EXPANSION;

COSTS;

EID: 67649509651     PISSN: 10648275     EISSN: None     Source Type: Journal    
DOI: 10.1137/080718061     Document Type: Article

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