Additional Metadata
THEME Life Sciences (theme 5), Energy (theme 4)
Publisher SIAM
Persistent URL dx.doi.org/10.1137/100794158
Journal SIAM Journal on Financial Mathematics
Citation
Fang, F, & Oosterlee, C.W. (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