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
Citation
Fang, F, & Oosterlee, C.W. (2008). A novel pricing method for European options based on Fourier-cosine series expansions. SIAM Journal on Scientific Computing, 31, 826–848.

Additional Files
13283B.pdf Author Manuscript , 378kb