SIAM Journal on Scientific Computing
Collection
Collection
- ISSN: 1064-8275
Published by S.I.A.M.
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A fast and accurate FFT-based method for pricing early-exercise options under Levy processes Article
SIAM Journal on Scientific Computing, 1678-1705.February 2008 -
A novel pricing method for European options based on Fourier-cosine series expansions Article
SIAM Journal on Scientific Computing, 826-848.November 2008
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Numerical integration of damped Maxwell equations Article
SIAM Journal on Scientific Computing, 31(2), 1322-1346.January 2009
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Computing the conical function $P^{\mu}_{-1/2+i\tau}(x)$ Article
SIAM Journal on Scientific Computing, 31(3), 1716-1741.February 2009
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Accuracy measures and Fourier analysis for the full multigrid algorithm Article
SIAM Journal on Scientific Computing, 32(5), 3108-3129.C. Rodrigo (Carmen), F.J. Gaspar (Francisco), C.W. Oosterlee (Kees) and I. Yavneh
January 2010 -
Efficient and accurate algorithms for the computation and inversion of the incomplete gamma function ratios Article
SIAM Journal on Scientific Computing, 1-17.January 2012
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Two-dimensional Fourier cosine series expansion method for pricing financial options Article
SIAM Journal on Scientific Computing, 34(5), B642-B671.January 2012 -
Robust pricing of European options with wavelets and the characteristic function Article
SIAM Journal on Scientific Computing, 35(5), B1055-B1084.January 2013