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 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. (2011). A Fourier-based valuation method for Bermudan and barrier options under Heston's model. SIAM Journal on Financial Mathematics, 2, 439–463. doi:10.1137/100794158

Publication