An accumulator pricing method based on Fourier cosine series expansions
Deng Ding, Wenfei Wang
| Year of publication: |
2015
|
|---|---|
| Authors: | Ding, Deng ; Wang, Wenfei |
| Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 2.2015, 2, p. 1-16
|
| Subject: | Accumulator | Fourier cosine expansions | Monte Carlo simulation | discrete barrier option | option on forward | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011333433