A Fourier-based valuation method for Bermudan and barrier options under Heston's model

2011

Additional Metadata
THEME	Life Sciences (theme 5), Energy (theme 4)
Publisher	SIAM
Persistent URL	doi.org/10.1137/100794158
Journal	SIAM Journal on Financial Mathematics
Organisation	Scientific Computing
Citation APA APA Style APA-ALL Style AAA 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. (2011). A Fourier-based valuation method for Bermudan and barrier options under Heston's model. SIAM Journal on Financial Mathematics, 2, 439–463.https://doi.org/10.1137/100794158

Publication