A novel pricing method for European options based on Fourier-cosine series expansions

2008-11-01

Additional Metadata
Keywords	option pricing, European options, Fourier-cosine series
MSC	Trigonometric approximation and interpolation (msc 65T40)
THEME	Life Sciences (theme 5), Energy (theme 4)
Publisher	S.I.A.M.
Journal	SIAM Journal on Scientific Computing
Organisation	Scientific Computing
Citation APA Style AAA Style APA Style Cell Style Chicago Style Harvard Style IEEE Style MLA Style Nature Style Vancouver Style American-Institute-of-Physics Style Council-of-Science-Editors Style BibTex Format Endnote Format RIS Format CSL Format DOIs only Format	Fang, F., & Oosterlee, K. (2008). A novel pricing method for European options based on Fourier-cosine series expansions. SIAM Journal on Scientific Computing, 31, 826–848.

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13283B.pdf Author Manuscript , 378kb

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