A NOVEL PRICING METHOD FOR EUROPEAN OPTIONS BASED ON FOURIER-COSINE SERIES EXPANSIONS
Year of publication: |
2008-03-10
|
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Authors: | Fang, Fang ; Oosterlee, Kees |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | option pricing | European options | Fourier-cosine expansion |
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