An accumulator pricing method based on Fourier cosine series expansions
Year of publication: |
2015
|
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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 | Monte-Carlo-Simulation | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process |
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