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"Two-Dimensional Fourier Cosine Series Expansion Method for Pricing ..."

Marjon J. Ruijter, Cornelis W. Oosterlee (2012)

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DOI: 10.1137/120862053

access: closed

type: Journal Article

metadata version: 2023-05-31

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Marjon J. Ruijter, Cornelis W. Oosterlee:
Two-Dimensional Fourier Cosine Series Expansion Method for Pricing Financial Options. SIAM J. Sci. Comput. 34(5) (2012)

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