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S.I.A.M.
doi.org/https://dx.doi.org/10.1137/120862053
SIAM Journal on Scientific Computing
Scientific Computing

Ruijter, M.J, & Oosterlee, C.W. (2012). Two-dimensional Fourier cosine series expansion method for pricing financial options. SIAM Journal on Scientific Computing, 34(5), B642–B671. doi:https://dx.doi.org/10.1137/120862053