"Pricing early-exercise and discrete barrier options by fourier-cosine ..."

Fang Fang, Cornelis W. Oosterlee (2009)

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DOI: 10.1007/S00211-009-0252-4

access: closed

type: Journal Article

metadata version: 2019-10-19

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Fang Fang, Cornelis W. Oosterlee:
Pricing early-exercise and discrete barrier options by fourier-cosine series expansions. Numerische Mathematik 114(1): 27 (2009)

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