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Fang Fang

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Fang, Fang & Oosterlee, Kees, 2008. "A Novel Pricing Method For European Options Based On Fourier-Cosine Series Expansions," MPRA Paper 7700, University Library of Munich, Germany.

    Cited by:

    1. Jean-Philippe Aguilar, 2021. "The value of power-related options under spectrally negative Lévy processes," Review of Derivatives Research, Springer, vol. 24(2), pages 173-196, July.
    2. Tat Lung Chan, 2017. "Singular Fourier-Pad\'e Series Expansion of European Option Prices," Papers 1706.06709, arXiv.org, revised Nov 2017.
    3. Damir Filipovi'c & Martin Larsson, 2017. "Polynomial Jump-Diffusion Models," Papers 1711.08043, arXiv.org, revised Jul 2019.
    4. Chris Bardgett & Elise Gourier & Markus Leippold, 2016. "Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX markets," Working Papers 780, Queen Mary University of London, School of Economics and Finance.
    5. Albrecher, Hansjoerg & Guillaume, Florence & Schoutens, Wim, 2013. "Implied liquidity: Model sensitivity," Journal of Empirical Finance, Elsevier, vol. 23(C), pages 48-67.
    6. Phelan, Carolyn E. & Marazzina, Daniele & Fusai, Gianluca & Germano, Guido, 2018. "Fluctuation identities with continuous monitoring and their application to the pricing of barrier options," European Journal of Operational Research, Elsevier, vol. 271(1), pages 210-223.
    7. Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2018. "Short-Term Market Risks Implied by Weekly Options," CREATES Research Papers 2018-08, Department of Economics and Business Economics, Aarhus University.
    8. Samuel Drapeau & Michael Kupper & Antonis Papapantoleon, 2012. "A Fourier Approach to the Computation of CV@R and Optimized Certainty Equivalents," Papers 1212.6732, arXiv.org, revised Dec 2013.
    9. Kirkby, J. Lars & Nguyen, Duy & Cui, Zhenyu, 2017. "A unified approach to Bermudan and barrier options under stochastic volatility models with jumps," Journal of Economic Dynamics and Control, Elsevier, vol. 80(C), pages 75-100.
    10. Julien Hok & Tat Lung Chan, 2016. "Option pricing with Legendre polynomials," Papers 1610.03086, arXiv.org, revised Mar 2017.
    11. Ki Wai Chau & Cornelis W. Oosterlee, 2016. "On the wavelets-based SWIFT method for backward stochastic differential equations," Papers 1611.06098, arXiv.org.
    12. Peter H. Gruber & Claudio Tebaldi & Fabio Trojani, 2021. "The Price of the Smile and Variance Risk Premia," Management Science, INFORMS, vol. 67(7), pages 4056-4074, July.
    13. Chau, K.W. & Yam, S.C.P. & Yang, H., 2015. "Fourier-cosine method for Gerber–Shiu functions," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 170-180.
    14. H. Peter Boswijk & Roger J. A. Laeven & Evgenii Vladimirov, 2022. "Estimating Option Pricing Models Using a Characteristic Function Based Linear State Space Representation," Tinbergen Institute Discussion Papers 22-000/III, Tinbergen Institute.
    15. Majewski, A. A. & Bormetti, G. & Corsi, F., 2013. "Smile from the Past: A general option pricing framework with multiple volatility and leverage components," Working Papers 13/11, Department of Economics, City University London.
    16. Chen, Ding & Härkönen, Hannu J. & Newton, David P., 2014. "Advancing the universality of quadrature methods to any underlying process for option pricing," Journal of Financial Economics, Elsevier, vol. 114(3), pages 600-612.
    17. Mesias Alfeus, 2019. "Stochastic Modelling of New Phenomena in Financial Markets," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2019.
    18. Cui, Zhenyu & Kirkby, J. Lars & Nguyen, Duy, 2017. "Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps," Insurance: Mathematics and Economics, Elsevier, vol. 74(C), pages 46-62.
    19. Hideharu Funahashi & Tomohide Higuchi, 2018. "An analytical approximation for single barrier options under stochastic volatility models," Annals of Operations Research, Springer, vol. 266(1), pages 129-157, July.
    20. Gudmundsson, Hilmar & Vyncke, David, 2019. "On the calibration of the 3/2 model," European Journal of Operational Research, Elsevier, vol. 276(3), pages 1178-1192.
    21. Jingtang Ma & Wenyuan Li & Harry Zheng, 2017. "Dual control Monte Carlo method for tight bounds of value function under Heston stochastic volatility model," Papers 1710.10487, arXiv.org.
    22. Teng, Ye & Zhang, Zhimin, 2023. "Finite-time expected present value of operating costs until ruin in a Cox risk model with periodic observation," Applied Mathematics and Computation, Elsevier, vol. 452(C).
    23. Herbertsson, Alexander, 2022. "Saddlepoint approximations for credit portfolios with stochastic recoveries," Working Papers in Economics 823, University of Gothenburg, Department of Economics.
    24. Vikranth Lokeshwar & Vikram Bhardawaj & Shashi Jain, 2019. "Neural network for pricing and universal static hedging of contingent claims," Papers 1911.11362, arXiv.org.
    25. Carl Chiarella & Susanne Griebsch & Boda Kang, 2013. "Investigating Time-Efficient Methods to Price Compound Options in the Heston Model," Research Paper Series 328, Quantitative Finance Research Centre, University of Technology, Sydney.
    26. Carolyn E. Phelan & Daniele Marazzina & Gianluca Fusai & Guido Germano, 2017. "Hilbert transform, spectral filters and option pricing," Papers 1706.09755, arXiv.org, revised Jan 2020.
    27. Allan Jonathan da Silva & Jack Baczynski & José Valentim Machado Vicente, 2024. "A Stochastically Correlated Bivariate Square-Root Model," IJFS, MDPI, vol. 12(2), pages 1-24, March.
    28. Damir Filipovic & Martin Larsson & Tony Ware, 2017. "Polynomial processes for power prices," Papers 1710.10293, arXiv.org, revised Apr 2018.
    29. Peter A. Forsyth & George Labahn, 2017. "$\epsilon$-Monotone Fourier Methods for Optimal Stochastic Control in Finance," Papers 1710.08450, arXiv.org, revised Apr 2018.
    30. Ballotta, Laura & Rayée, Grégory, 2022. "Smiles & smirks: Volatility and leverage by jumps," European Journal of Operational Research, Elsevier, vol. 298(3), pages 1145-1161.
    31. Sergei Levendorskiĭ, 2022. "Operators and Boundary Problems in Finance, Economics and Insurance: Peculiarities, Efficient Methods and Outstanding Problems," Mathematics, MDPI, vol. 10(7), pages 1-36, March.
    32. Alaya, Mohamed Ben & Hajji, Kaouther & Kebaier, Ahmed, 2016. "Importance sampling and statistical Romberg method for Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 126(7), pages 1901-1931.
    33. Agostino Capponi & Stefano Pagliarani & Tiziano Vargiolu, 2014. "Pricing vulnerable claims in a Lévy-driven model," Finance and Stochastics, Springer, vol. 18(4), pages 755-789, October.
    34. Ballotta, Laura & Fusai, Gianluca & Marazzina, Daniele, 2019. "Integrated structural approach to Credit Value Adjustment," European Journal of Operational Research, Elsevier, vol. 272(3), pages 1143-1157.
    35. Huang, Shoude & Guo, Xunxiang, 2022. "Valuation of European-style vulnerable options under the non-affine stochastic volatility and double exponential jump," Chaos, Solitons & Fractals, Elsevier, vol. 158(C).
    36. Suda, Shintaro & Muroi, Yoshifumi, 2015. "Computation of Greeks using binomial trees in a jump-diffusion model," Journal of Economic Dynamics and Control, Elsevier, vol. 51(C), pages 93-110.
    37. Lian, Guanghua & Chiarella, Carl & Kalev, Petko S., 2014. "Volatility swaps and volatility options on discretely sampled realized variance," Journal of Economic Dynamics and Control, Elsevier, vol. 47(C), pages 239-262.
    38. Long Teng, 2021. "The Heston Model with Time-Dependent Correlation Driven by Isospectral Flows," Mathematics, MDPI, vol. 9(9), pages 1-8, April.
    39. Herbertsson, Alexander, 2023. "Saddlepoint approximations for credit portfolio distributions with applications in equity risk management," Working Papers in Economics 839, University of Gothenburg, Department of Economics.
    40. Chan, Tat Lung (Ron), 2019. "Efficient computation of european option prices and their sensitivities with the complex fourier series method," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    41. Eduardo Abi Jaber, 2018. "Lifting the Heston model," Papers 1810.04868, arXiv.org, revised Nov 2019.
    42. Martijn Pistorius & Johannes Stolte, 2012. "Fast computation of vanilla prices in time-changed models and implied volatilities using rational approximations," Papers 1203.6899, arXiv.org.
    43. J. Lars Kirkby & Shi-Jie Deng, 2019. "Swing Option Pricing By Dynamic Programming With B-Spline Density Projection," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(08), pages 1-53, December.
    44. Maarten Wyns & Jacques Du Toit, 2016. "A Finite Volume - Alternating Direction Implicit Approach for the Calibration of Stochastic Local Volatility Models," Papers 1611.02961, arXiv.org.
    45. Wei Lin & Shenghong Li & Xingguo Luo & Shane Chern, 2015. "Consistent Pricing of VIX and Equity Derivatives with the 4/2 Stochastic Volatility Plus Jumps Model," Papers 1510.01172, arXiv.org, revised Nov 2015.
    46. Walter Farkas & Ludovic Mathys & Nikola Vasiljevi'c, 2020. "Intra-Horizon Expected Shortfall and Risk Structure in Models with Jumps," Papers 2002.04675, arXiv.org, revised Jan 2021.
    47. Marjon Ruijter & Kees Oosterlee, 2012. "Two-dimensional Fourier cosine series expansion method for pricing financial options," CPB Discussion Paper 225, CPB Netherlands Bureau for Economic Policy Analysis.
    48. Svetlana Boyarchenko & Sergei Levendorskiu{i} & J. Lars Kirkby & Zhenyu Cui, 2021. "SINH-acceleration for B-spline projection with Option Pricing Applications," Papers 2109.08738, arXiv.org.
    49. Jan Baldeaux & Alexander Badran, 2012. "Consistent Modeling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model," Papers 1203.5903, arXiv.org, revised Aug 2012.
    50. Muroi, Yoshifumi & Suda, Shintaro, 2022. "Binomial tree method for option pricing: Discrete cosine transform approach," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 198(C), pages 312-331.
    51. Damir Filipovic & Damien Ackerer & Sergio Pulido, 2018. "The Jacobi Stochastic Volatility Model," Post-Print hal-01338330, HAL.
    52. Ferreiro-Ferreiro, Ana María & García-Rodríguez, José A. & Souto, Luis & Vázquez, Carlos, 2020. "A new calibration of the Heston Stochastic Local Volatility Model and its parallel implementation on GPUs," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 177(C), pages 467-486.
    53. Jain, Shashi & Roelofs, Ferry & Oosterlee, Cornelis W., 2013. "Valuing modular nuclear power plants in finite time decision horizon," Energy Economics, Elsevier, vol. 36(C), pages 625-636.
    54. Vidal Nunes, João Pedro & Ruas, João Pedro & Dias, José Carlos, 2020. "Early exercise boundaries for American-style knock-out options," European Journal of Operational Research, Elsevier, vol. 285(2), pages 753-766.
    55. Lech A. Grzelak & Cornelis W. Oosterlee, 2012. "On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates," Applied Mathematical Finance, Taylor & Francis Journals, vol. 19(1), pages 1-35, February.
    56. Luis A. Souto Arias & Pasquale Cirillo & Cornelis W. Oosterlee, 2022. "A new self-exciting jump-diffusion process for option pricing," Papers 2205.13321, arXiv.org, revised Feb 2023.
    57. Pablo Olivares, 2014. "Pricing of Basket Options Using Polynomial Approximations," Papers 1404.3160, arXiv.org.
    58. Majewski, Adam A. & Bormetti, Giacomo & Corsi, Fulvio, 2015. "Smile from the past: A general option pricing framework with multiple volatility and leverage components," Journal of Econometrics, Elsevier, vol. 187(2), pages 521-531.
    59. Ricardo Pachón, 2018. "Numerical pricing of European options with arbitrary payoffs," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(02), pages 1-31, June.
    60. Rob Aalbers & Marjon Ruijter & Kees Oosterlee, 2014. "The social discount rate under a stochastic A2 scenario," CPB Discussion Paper 296, CPB Netherlands Bureau for Economic Policy Analysis.
    61. Karl Friedrich Hofmann & Thorsten Schulz, 2016. "A General Ornstein–Uhlenbeck Stochastic Volatility Model With Lévy Jumps," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(08), pages 1-23, December.
    62. Cui, Zhenyu & Lars Kirkby, J. & Nguyen, Duy, 2017. "A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps," European Journal of Operational Research, Elsevier, vol. 262(1), pages 381-400.
    63. Walter Farkas & Ludovic Mathys & Nikola Vasiljević, 2021. "Intra‐Horizon expected shortfall and risk structure in models with jumps," Mathematical Finance, Wiley Blackwell, vol. 31(2), pages 772-823, April.
    64. Pablo Olivares, 2020. "Pricing Temperature Derivatives under a Time-Changed Levy Model," Papers 2005.14350, arXiv.org.
    65. Allan Jonathan da Silva & Jack Baczynski & José Valentim Machado Vicente, 2020. "Efficient Solutions for Pricing and Hedging Interest Rate Asian Options," Working Papers Series 513, Central Bank of Brazil, Research Department.
    66. Patrik Karlsson, 2018. "Finite element based Monte Carlo simulation of options on Lévy driven assets," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(01), pages 1-23, March.
    67. Andrey Itkin, 2023. "The ATM implied skew in the ADO-Heston model," Papers 2309.15044, arXiv.org.
    68. Hongshan Li & Zhongyi Huang, 2019. "Artificial boundary method for the solution of pricing European options under the Heston model," Papers 1912.00691, arXiv.org.
    69. Christian Bayer & Chiheb Ben Hammouda & Antonis Papapantoleon & Michael Samet & Ra'ul Tempone, 2024. "Quasi-Monte Carlo for Efficient Fourier Pricing of Multi-Asset Options," Papers 2403.02832, arXiv.org.
    70. Li, Zhe & Zhang, Wei-Guo & Liu, Yong-Jun & Zhang, Yue, 2019. "Pricing discrete barrier options under jump-diffusion model with liquidity risk," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 347-368.
    71. Stéphane Crépey & Matthew F Dixon, 2020. "Gaussian process regression for derivative portfolio modeling and application to credit valuation adjustment computations," Post-Print hal-03910109, HAL.
    72. Kirkby, J. Lars & Nguyen, Duy, 2021. "Equity-linked Guaranteed Minimum Death Benefits with dollar cost averaging," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 408-428.
    73. Teng, Ye & Zhang, Zhimin, 2023. "On a time-changed Lévy risk model with capital injections and periodic observation," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 214(C), pages 290-314.
    74. Corsi, Fulvio & Fusari, Nicola & La Vecchia, Davide, 2013. "Realizing smiles: Options pricing with realized volatility," Journal of Financial Economics, Elsevier, vol. 107(2), pages 284-304.
    75. Jun Cheng & Jin Zhang, 2012. "Analytical pricing of American options," Review of Derivatives Research, Springer, vol. 15(2), pages 157-192, July.
    76. Yaowen Lu & Duy-Minh Dang, 2023. "A semi-Lagrangian $\epsilon$-monotone Fourier method for continuous withdrawal GMWBs under jump-diffusion with stochastic interest rate," Papers 2310.00606, arXiv.org.
    77. St'ephane Cr'epey & Matthew Dixon, 2019. "Gaussian Process Regression for Derivative Portfolio Modeling and Application to CVA Computations," Papers 1901.11081, arXiv.org, revised Oct 2019.
    78. Svetlana Boyarchenko & Sergei Levendorskiĭ, 2020. "Static and semistatic hedging as contrarian or conformist bets," Mathematical Finance, Wiley Blackwell, vol. 30(3), pages 921-960, July.
    79. Álvaro Leitao & Lech A. Grzelak & Cornelis W. Oosterlee, 2017. "On an efficient multiple time step Monte Carlo simulation of the SABR model," Quantitative Finance, Taylor & Francis Journals, vol. 17(10), pages 1549-1565, October.
    80. A S Hurn & Kenenth A Lindsay & Andrew McClelland, 2013. "On the Efficacy of Fourier Series Approximations for Pricing European and Digital Options," NCER Working Paper Series 90, National Centre for Econometric Research.
    81. Eudald Romo & Luis Ortiz-Gracia, 2021. "SWIFT calibration of the Heston model," Papers 2103.01570, arXiv.org.
    82. Peter Carr & Andrey Itkin, 2019. "ADOL - Markovian approximation of rough lognormal model," Papers 1904.09240, arXiv.org.
    83. Wenguang Yu & Yaodi Yong & Guofeng Guan & Yujuan Huang & Wen Su & Chaoran Cui, 2019. "Valuing Guaranteed Minimum Death Benefits by Cosine Series Expansion," Mathematics, MDPI, vol. 7(9), pages 1-15, September.
    84. Anastasia Borovykh & Cornelis W. Oosterlee & Andrea Pascucci, 2016. "Pricing Bermudan options under local L\'evy models with default," Papers 1604.08735, arXiv.org.
    85. Brignone, Riccardo & Gonzato, Luca & Lütkebohmert, Eva, 2023. "Efficient Quasi-Bayesian Estimation of Affine Option Pricing Models Using Risk-Neutral Cumulants," Journal of Banking & Finance, Elsevier, vol. 148(C).
    86. Leitao, Álvaro & Oosterlee, Cornelis W. & Ortiz-Gracia, Luis & Bohte, Sander M., 2018. "On the data-driven COS method," Applied Mathematics and Computation, Elsevier, vol. 317(C), pages 68-84.
    87. Jan Baldeaux & Alexander Badran, 2014. "Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model," Applied Mathematical Finance, Taylor & Francis Journals, vol. 21(4), pages 299-312, September.
    88. Zhigang Tong & Allen Liu, 2018. "Analytical pricing of discrete arithmetic Asian options under generalized CIR process with time change," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(01), pages 1-21, March.
    89. Long Teng & Matthias Ehrhardt & Michael Günther, 2018. "Quanto Pricing In Stochastic Correlation Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(05), pages 1-20, August.
    90. Grzelak, Lech & Oosterlee, Kees, 2010. "An Equity-Interest Rate Hybrid Model With Stochastic Volatility and the Interest Rate Smile," MPRA Paper 20574, University Library of Munich, Germany.
    91. Pedro Febrer & João Guerra, 2021. "Residue Sum Formula for Pricing Options under the Variance Gamma Model," Mathematics, MDPI, vol. 9(10), pages 1-29, May.
    92. Adam Aleksander Majewski & Giacomo Bormetti & Fulvio Corsi, 2014. "Smile from the Past: A general option pricing framework with multiple volatility and leverage components," Papers 1404.3555, arXiv.org.
    93. Xie, Jiayi & Zhang, Zhimin, 2020. "Statistical estimation for some dividend problems under the compound Poisson risk model," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 101-115.
    94. Zhe Zhao & Zhenyu Cui & Ionuţ Florescu, 2018. "VIX derivatives valuation and estimation based on closed-form series expansions," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(02), pages 1-18, June.
    95. Kailin Ding & Zhenyu Cui & Yanchu Liu, 2023. "Sequential Itô–Taylor expansions and characteristic functions of stochastic volatility models," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(12), pages 1750-1769, December.
    96. Li, Zhe & Zhang, Weiguo & Zhang, Yue & Yi, Zhigao, 2019. "An analytical approximation approach for pricing European options in a two-price economy," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    97. Jing, Bo & Li, Shenghong & Ma, Yong, 2021. "Consistent pricing of VIX options with the Hawkes jump-diffusion model," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
    98. Hanwen Zhang & Duy-Minh Dang, 2023. "A monotone numerical integration method for mean-variance portfolio optimization under jump-diffusion models," Papers 2309.05977, arXiv.org.
    99. Evgenii Vladimirov, 2023. "iCOS: Option-Implied COS Method," Papers 2309.00943, arXiv.org, revised Feb 2024.
    100. Grzelak, Lech & Oosterlee, Kees, 2009. "On The Heston Model with Stochastic Interest Rates," MPRA Paper 20620, University Library of Munich, Germany, revised 18 Jan 2010.
    101. Yunyun Wang & Wenguang Yu & Yujuan Huang & Xinliang Yu & Hongli Fan, 2019. "Estimating the Expected Discounted Penalty Function in a Compound Poisson Insurance Risk Model with Mixed Premium Income," Mathematics, MDPI, vol. 7(3), pages 1-25, March.
    102. Reza Doostaki & Mohammad Mehdi Hosseini, 2022. "Option Pricing by the Legendre Wavelets Method," Computational Economics, Springer;Society for Computational Economics, vol. 59(2), pages 749-773, February.
    103. Carl Chiarella & Boda Kang & Gunter H. Meyer, 2010. "The Evaluation Of Barrier Option Prices Under Stochastic Volatility," Research Paper Series 266, Quantitative Finance Research Centre, University of Technology, Sydney.
    104. Michael Samet & Christian Bayer & Chiheb Ben Hammouda & Antonis Papapantoleon & Ra'ul Tempone, 2022. "Optimal Damping with Hierarchical Adaptive Quadrature for Efficient Fourier Pricing of Multi-Asset Options in L\'evy Models," Papers 2203.08196, arXiv.org, revised Oct 2023.
    105. Carolyn E. Phelan & Daniele Marazzina & Gianluca Fusai & Guido Germano, 2017. "Fluctuation identities with continuous monitoring and their application to price barrier options," Papers 1712.00077, arXiv.org.
    106. Rong Du & Duy-Minh Dang, 2023. "Fourier Neural Network Approximation of Transition Densities in Finance," Papers 2309.03966, arXiv.org.
    107. Ke Chen & Ser-Huang Poon, 2013. "Derivatives pricing with affine models and numerical implementation," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 6, pages 148-168, Edward Elgar Publishing.
    108. Jean-Philippe Aguilar, 2019. "The value of power-related options under spectrally negative L\'evy processes," Papers 1910.07971, arXiv.org, revised Jan 2021.
    109. Yingming Ge & Lingfei Li & Gongqiu Zhang, 2022. "A Fourier Transform Method for Solving Backward Stochastic Differential Equations," Methodology and Computing in Applied Probability, Springer, vol. 24(1), pages 385-412, March.
    110. Jean-Philippe Aguilar & Jan Korbel & Nicolas Pesci, 2021. "On the Quantitative Properties of Some Market Models Involving Fractional Derivatives," Mathematics, MDPI, vol. 9(24), pages 1-24, December.
    111. Andrey Itkin, 2014. "Splitting and Matrix Exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps," Papers 1405.6111, arXiv.org, revised May 2014.
    112. Sio Chong U & Jacky So & Deng Ding & Lihong Liu, 2016. "An efficient Fourier expansion method for the calculation of value-at-risk: Contributions of extra-ordinary risks," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(01), pages 1-27, March.
    113. Fabien Le Floc'h, 2020. "Notes on the SWIFT method based on Shannon Wavelets for Option Pricing," Papers 2005.13252, arXiv.org.
    114. Ware, Antony, 2018. "Reliability-constrained hydropower valuation," Energy Policy, Elsevier, vol. 118(C), pages 633-641.
    115. Leitao, Álvaro & Grzelak, Lech A. & Oosterlee, Cornelis W., 2017. "On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options," Applied Mathematics and Computation, Elsevier, vol. 293(C), pages 461-479.
    116. Calvet, Laurent E. & Fearnley, Marcus & Fisher, Adlai J. & Leippold, Markus, 2015. "What is beneath the surface? Option pricing with multifrequency latent states," Journal of Econometrics, Elsevier, vol. 187(2), pages 498-511.
    117. Sun, Xianming & Gan, Siqing & Vanmaele, Michèle, 2015. "Analytical approximation for distorted expectations," Statistics & Probability Letters, Elsevier, vol. 107(C), pages 246-252.
    118. Dilip B. Madan & Wim Schoutens, 2019. "Arbitrage Free Approximations to Candidate Volatility Surface Quotations," JRFM, MDPI, vol. 12(2), pages 1-21, April.
    119. Sung Ik Kim & Young Shin Kim, 2018. "Tempered stable structural model in pricing credit spread and credit default swap," Review of Derivatives Research, Springer, vol. 21(1), pages 119-148, April.
    120. Anastasia Borovykh & Andrea Pascucci & Cornelis W. Oosterlee, 2019. "Efficient Computation of Various Valuation Adjustments Under Local L\'evy Models," Papers 1905.01706, arXiv.org.
    121. Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2022. "L\'evy models amenable to efficient calculations," Papers 2207.02359, arXiv.org.
    122. A. Cassagnes & Y. Chen & H. Ohashi, 2014. "Heterogeneous Computation Of Rainbow Option Prices Using Fourier Cosine Series Expansion Under A Mixed Cpu–Gpu Computation Framework," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 21(2), pages 91-104, April.
    123. Lian, Guanghua & Zhu, Song-Ping & Elliott, Robert J. & Cui, Zhenyu, 2017. "Semi-analytical valuation for discrete barrier options under time-dependent Lévy processes," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 167-183.
    124. Xie, Jiayi & Zhang, Zhimin, 2021. "Finite-time dividend problems in a Lévy risk model under periodic observation," Applied Mathematics and Computation, Elsevier, vol. 398(C).
    125. Aleksandar Mijatovi'c & Romain Palfray, 2022. "A weak MLMC scheme for L\'evy-copula-driven SDEs with applications to the pricing of credit, equity and interest rate derivatives," Papers 2211.02528, arXiv.org.
    126. Laurens Van Mieghem & Antonis Papapantoleon & Jonas Papazoglou-Hennig, 2023. "Machine learning for option pricing: an empirical investigation of network architectures," Papers 2307.07657, arXiv.org.
    127. Eudald Romo & Luis Ortiz-Gracia, 2021. "SWIFT Calibration of the Heston Model," Mathematics, MDPI, vol. 9(5), pages 1-20, March.
    128. Li, Hongshan & Huang, Zhongyi, 2020. "An iterative splitting method for pricing European options under the Heston model☆," Applied Mathematics and Computation, Elsevier, vol. 387(C).
    129. Castellano, Rosella & Corallo, Vincenzo & Morelli, Giacomo, 2022. "Structural estimation of counterparty credit risk under recovery risk," Journal of Banking & Finance, Elsevier, vol. 140(C).
    130. A. Aimi & C. Guardasoni & L. Ortiz-Gracia & S. Sanfelici, 2023. "Fast Barrier Option Pricing by the COS BEM Method in Heston Model," Papers 2301.00648, arXiv.org, revised Jan 2023.
    131. Francesca Lilla, 2021. "Volatility Bursts: A discrete-time option model with multiple volatility components," Temi di discussione (Economic working papers) 1336, Bank of Italy, Economic Research and International Relations Area.
    132. Yang, Yang & Su, Wen & Zhang, Zhimin, 2019. "Estimating the discounted density of the deficit at ruin by Fourier cosine series expansion," Statistics & Probability Letters, Elsevier, vol. 146(C), pages 147-155.
    133. Damien Ackerer & Damir Filipovi'c & Sergio Pulido, 2016. "The Jacobi Stochastic Volatility Model," Papers 1605.07099, arXiv.org, revised Mar 2018.
    134. Hongshan Li & Zhongyi Huang, 2020. "An iterative splitting method for pricing European options under the Heston model," Papers 2003.12934, arXiv.org.
    135. Yayun Wang, 2023. "Pricing a Specific Equity Index Annuity in a Regime-Switching Lévy Model with Jump," Computational Economics, Springer;Society for Computational Economics, vol. 61(3), pages 1115-1135, March.
    136. Deng Ding & Xiaofei Li & Yiqi Liu, 2017. "A regression-based numerical scheme for backward stochastic differential equations," Computational Statistics, Springer, vol. 32(4), pages 1357-1373, December.
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    138. Singor, Stefan N. & Grzelak, Lech A. & van Bragt, David D.B. & Oosterlee, Cornelis W., 2013. "Pricing inflation products with stochastic volatility and stochastic interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 286-299.
    139. Eduardo Abi Jaber, 2019. "Lifting the Heston model," Post-Print hal-01890751, HAL.
    140. Fei Cong & Cornelis W. Oosterlee, 2017. "Accurate and Robust Numerical Methods for the Dynamic Portfolio Management Problem," Computational Economics, Springer;Society for Computational Economics, vol. 49(3), pages 433-458, March.
    141. João Pedro Vidal Nunes & Tiago Ramalho Viegas Alcaria, 2016. "Valuation of forward start options under affine jump-diffusion models," Quantitative Finance, Taylor & Francis Journals, vol. 16(5), pages 727-747, May.
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  2. Fang, Fang & Oosterlee, Kees, 2008. "Pricing Early-Exercise and Discrete Barrier Options by Fourier-Cosine Series Expansions," MPRA Paper 9248, University Library of Munich, Germany.

    Cited by:

    1. Kathrin Glau & Mirco Mahlstedt & Christian Potz, 2018. "A new approach for American option pricing: The Dynamic Chebyshev method," Papers 1806.05579, arXiv.org.
    2. Laura Ballotta & Ioannis Kyriakou, 2015. "Convertible bond valuation in a jump diffusion setting with stochastic interest rates," Quantitative Finance, Taylor & Francis Journals, vol. 15(1), pages 115-129, January.
    3. A. Golbabai & L. Ballestra & D. Ahmadian, 2014. "A Highly Accurate Finite Element Method to Price Discrete Double Barrier Options," Computational Economics, Springer;Society for Computational Economics, vol. 44(2), pages 153-173, August.
    4. Tat Lung Chan, 2017. "Singular Fourier-Pad\'e Series Expansion of European Option Prices," Papers 1706.06709, arXiv.org, revised Nov 2017.
    5. Ki Wai Chau & Cornelis W. Oosterlee, 2016. "On the wavelets-based SWIFT method for backward stochastic differential equations," Papers 1611.06098, arXiv.org.
    6. Carolyn E. Phelan & Daniele Marazzina & Gianluca Fusai & Guido Germano, 2017. "Hilbert transform, spectral filters and option pricing," Papers 1706.09755, arXiv.org, revised Jan 2020.
    7. Helin Zhu & Fan Ye & Enlu Zhou, 2015. "Fast estimation of true bounds on Bermudan option prices under jump-diffusion processes," Quantitative Finance, Taylor & Francis Journals, vol. 15(11), pages 1885-1900, November.
    8. Marjon Ruijter & Kees Oosterlee, 2012. "Two-dimensional Fourier cosine series expansion method for pricing financial options," CPB Discussion Paper 225, CPB Netherlands Bureau for Economic Policy Analysis.
    9. Helin Zhu & Fan Ye & Enlu Zhou, 2013. "Fast Estimation of True Bounds on Bermudan Option Prices under Jump-diffusion Processes," Papers 1305.4321, arXiv.org.
    10. Jain, Shashi & Oosterlee, Cornelis W., 2015. "The Stochastic Grid Bundling Method: Efficient pricing of Bermudan options and their Greeks," Applied Mathematics and Computation, Elsevier, vol. 269(C), pages 412-431.
    11. Rob Aalbers & Marjon Ruijter & Kees Oosterlee, 2014. "The social discount rate under a stochastic A2 scenario," CPB Discussion Paper 296, CPB Netherlands Bureau for Economic Policy Analysis.
    12. Jun Cheng & Jin Zhang, 2012. "Analytical pricing of American options," Review of Derivatives Research, Springer, vol. 15(2), pages 157-192, July.
    13. Carl Chiarella & Boda Kang & Gunter H. Meyer, 2010. "The Evaluation Of Barrier Option Prices Under Stochastic Volatility," Research Paper Series 266, Quantitative Finance Research Centre, University of Technology, Sydney.
    14. Lech A. Grzelak & Cornelis W. Oosterlee & Sacha Van Weeren, 2012. "Extension of stochastic volatility equity models with the Hull--White interest rate process," Quantitative Finance, Taylor & Francis Journals, vol. 12(1), pages 89-105, July.
    15. Amirhossein Sobhani & Mariyan Milev, 2017. "A Numerical Method for Pricing Discrete Double Barrier Option by Legendre Multiwavelet," Papers 1703.09129, arXiv.org, revised Mar 2017.
    16. Adrien Genin & Peter Tankov, 2016. "Optimal importance sampling for L\'evy Processes," Papers 1608.04621, arXiv.org.
    17. Laura Ballota & Griselda Deelstra & Grégory Rayée, 2015. "Quanto Implied Correlation in a Multi-Lévy Framework," Working Papers ECARES ECARES 2015-36, ULB -- Universite Libre de Bruxelles.
    18. Alev{s} v{C}ern'y, 2016. "Discrete-Time Quadratic Hedging of Barrier Options in Exponential L\'{e}vy Model," Papers 1603.03747, arXiv.org.
    19. Fei Cong & Cornelis W. Oosterlee, 2017. "Accurate and Robust Numerical Methods for the Dynamic Portfolio Management Problem," Computational Economics, Springer;Society for Computational Economics, vol. 49(3), pages 433-458, March.
    20. Chunfa Wang, 2017. "Pricing European Options by Stable Fourier-Cosine Series Expansions," Papers 1701.00886, arXiv.org, revised Jan 2017.

  3. Lord, Roger & Fang, Fang & Bervoets, Frank & Oosterlee, Kees, 2007. "A fast and accurate FFT-based method for pricing early-exercise options under Lévy processes," MPRA Paper 1952, University Library of Munich, Germany.

    Cited by:

    1. Kathrin Glau & Mirco Mahlstedt & Christian Potz, 2018. "A new approach for American option pricing: The Dynamic Chebyshev method," Papers 1806.05579, arXiv.org.
    2. Laura Ballotta & Ioannis Kyriakou, 2015. "Convertible bond valuation in a jump diffusion setting with stochastic interest rates," Quantitative Finance, Taylor & Francis Journals, vol. 15(1), pages 115-129, January.
    3. Luca Vincenzo Ballestra, 2018. "Fast and accurate calculation of American option prices," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 41(2), pages 399-426, November.
    4. Adam W. Kolkiewicz & Fangyuan Sally Lin, 2017. "Pricing Surrender Risk in Ratchet Equity-Index Annuities under Regime-Switching Lévy Processes," North American Actuarial Journal, Taylor & Francis Journals, vol. 21(3), pages 433-457, July.
    5. Tat Lung Chan, 2017. "Singular Fourier-Pad\'e Series Expansion of European Option Prices," Papers 1706.06709, arXiv.org, revised Nov 2017.
    6. Oleg Kudryavtsev & Antonino Zanette, 2013. "Efficient pricing of swing options in L�vy-driven models," Quantitative Finance, Taylor & Francis Journals, vol. 13(4), pages 627-635, March.
    7. Maximilian Gaß & Kathrin Glau & Mirco Mahlstedt & Maximilian Mair, 2018. "Chebyshev interpolation for parametric option pricing," Finance and Stochastics, Springer, vol. 22(3), pages 701-731, July.
    8. Ioannis Kyriakou & Panos K. Pouliasis & Nikos C. Papapostolou, 2016. "Jumps and stochastic volatility in crude oil prices and advances in average option pricing," Quantitative Finance, Taylor & Francis Journals, vol. 16(12), pages 1859-1873, December.
    9. Kirkby, J. Lars & Nguyen, Duy & Cui, Zhenyu, 2017. "A unified approach to Bermudan and barrier options under stochastic volatility models with jumps," Journal of Economic Dynamics and Control, Elsevier, vol. 80(C), pages 75-100.
    10. Julien Hok & Tat Lung Chan, 2016. "Option pricing with Legendre polynomials," Papers 1610.03086, arXiv.org, revised Mar 2017.
    11. A. S. Hurn & K. A. Lindsay & A. J. McClelland, 2015. "Estimating the Parameters of Stochastic Volatility Models Using Option Price Data," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(4), pages 579-594, October.
    12. Chen, Ding & Härkönen, Hannu J. & Newton, David P., 2014. "Advancing the universality of quadrature methods to any underlying process for option pricing," Journal of Financial Economics, Elsevier, vol. 114(3), pages 600-612.
    13. Wendong Zheng & Chi Hung Yuen & Yue Kuen Kwok, 2016. "Recursive Algorithms For Pricing Discrete Variance Options And Volatility Swaps Under Time-Changed Lévy Processes," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(02), pages 1-29, March.
    14. Tat Lung Chan & Nicholas Hale, 2018. "Hedging and Pricing European-type, Early-Exercise and Discrete Barrier Options using Algorithm for the Convolution of Legendre Series," Papers 1811.09257, arXiv.org, revised May 2019.
    15. Fang, Fang & Oosterlee, Kees, 2008. "A Novel Pricing Method For European Options Based On Fourier-Cosine Series Expansions," MPRA Paper 7700, University Library of Munich, Germany.
    16. Peter A. Forsyth & George Labahn, 2017. "$\epsilon$-Monotone Fourier Methods for Optimal Stochastic Control in Finance," Papers 1710.08450, arXiv.org, revised Apr 2018.
    17. Weilong Fu & Ali Hirsa, 2019. "A fast method for pricing American options under the variance gamma model," Papers 1903.07519, arXiv.org.
    18. Fusai, Gianluca & Germano, Guido & Marazzina, Daniele, 2016. "Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options," European Journal of Operational Research, Elsevier, vol. 251(1), pages 124-134.
    19. Zineb El Filali Ech-Chafiq & Pierre Henry-Labordere & J'er^ome Lelong, 2021. "Pricing Bermudan options using regression trees/random forests," Papers 2201.02587, arXiv.org, revised Jun 2023.
    20. Ruggero Caldana & Gianluca Fusai & Alessandro Gnoatto & Martino Grasselli, 2016. "General closed-form basket option pricing bounds," Quantitative Finance, Taylor & Francis Journals, vol. 16(4), pages 535-554, April.
    21. Sesana, Debora & Marazzina, Daniele & Fusai, Gianluca, 2014. "Pricing exotic derivatives exploiting structure," European Journal of Operational Research, Elsevier, vol. 236(1), pages 369-381.
    22. Sebastian Becker & Patrick Cheridito & Arnulf Jentzen & Timo Welti, 2019. "Solving high-dimensional optimal stopping problems using deep learning," Papers 1908.01602, arXiv.org, revised Aug 2021.
    23. Stavros J. Sioutis, 2017. "Calibration and Filtering of Exponential L\'evy Option Pricing Models," Papers 1705.04780, arXiv.org.
    24. Ali Hirsa & Weilong Fu, 2020. "An unsupervised deep learning approach in solving partial integro-differential equations," Papers 2006.15012, arXiv.org, revised Dec 2020.
    25. Andrey Itkin, 2023. "The ATM implied skew in the ADO-Heston model," Papers 2309.15044, arXiv.org.
    26. Ales Cerny & Ioannis Kyriakou, 2010. "An improved convolution algorithm for discretely sampled Asian options," Quantitative Finance, Taylor & Francis Journals, vol. 11(3), pages 381-389.
    27. A S Hurn & Kenenth A Lindsay & Andrew McClelland, 2013. "On the Efficacy of Fourier Series Approximations for Pricing European and Digital Options," NCER Working Paper Series 90, National Centre for Econometric Research.
    28. Peter Carr & Andrey Itkin, 2019. "ADOL - Markovian approximation of rough lognormal model," Papers 1904.09240, arXiv.org.
    29. Tim Leung & Marco Santoli, 2014. "Accounting for Earnings Announcements in the Pricing of Equity Options," Papers 1412.8414, arXiv.org, revised Apr 2015.
    30. Anastasia Borovykh & Cornelis W. Oosterlee & Andrea Pascucci, 2016. "Pricing Bermudan options under local L\'evy models with default," Papers 1604.08735, arXiv.org.
    31. Xu Guo & Yutian Li, 2016. "Valuation of American options under the CGMY model," Quantitative Finance, Taylor & Francis Journals, vol. 16(10), pages 1529-1539, October.
    32. Antonio Cosma & Stefano Galluccio & Paola Pederzoli & O. Scaillet, 2016. "Early Exercise Decision in American Options with Dividends, Stochastic Volatility and Jumps," Swiss Finance Institute Research Paper Series 16-73, Swiss Finance Institute.
    33. Zineb El Filali Ech-Chafiq & Pierre Henry Labordère & Jérôme Lelong, 2023. "Pricing Bermudan options using regression trees/random forests," Post-Print hal-03436046, HAL.
    34. Andrey Itkin, 2014. "Splitting and Matrix Exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps," Papers 1405.6111, arXiv.org, revised May 2014.
    35. Imai Junichi, 2013. "Comparison of random number generators via Fourier transform," Monte Carlo Methods and Applications, De Gruyter, vol. 19(3), pages 237-259, October.
    36. Alexander Kushpel, 2014. "Pricing of basket options I," Papers 1401.1856, arXiv.org.
    37. D. J. Manuge & P. T. Kim, 2014. "A fast Fourier transform method for Mellin-type option pricing," Papers 1403.3756, arXiv.org, revised Mar 2014.
    38. Jan Posp'iv{s}il & Vladim'ir v{S}v'igler, 2019. "Isogeometric analysis in option pricing," Papers 1910.00258, arXiv.org.
    39. Adrien Genin & Peter Tankov, 2016. "Optimal importance sampling for L\'evy Processes," Papers 1608.04621, arXiv.org.
    40. Laura Ballota & Griselda Deelstra & Grégory Rayée, 2015. "Quanto Implied Correlation in a Multi-Lévy Framework," Working Papers ECARES ECARES 2015-36, ULB -- Universite Libre de Bruxelles.
    41. Tim Leung & Haohua Wan, 2015. "ESO Valuation with Job Termination Risk and Jumps in Stock Price," Papers 1504.08073, arXiv.org.
    42. Min Huang & Guo Luo, 2019. "A simple and efficient numerical method for pricing discretely monitored early-exercise options," Papers 1905.13407, arXiv.org, revised Jun 2019.
    43. Tat Lung & Chan, 2019. "An SFP--FCC Method for Pricing and Hedging Early-exercise Options under L\'evy Processes," Papers 1909.07319, arXiv.org.
    44. João Pedro Vidal Nunes & Tiago Ramalho Viegas Alcaria, 2016. "Valuation of forward start options under affine jump-diffusion models," Quantitative Finance, Taylor & Francis Journals, vol. 16(5), pages 727-747, May.
    45. Alexander Kushpel, 2015. "Pricing of high-dimensional options," Papers 1510.07221, arXiv.org.
    46. Fang, Fang & Oosterlee, Kees, 2008. "Pricing Early-Exercise and Discrete Barrier Options by Fourier-Cosine Series Expansions," MPRA Paper 9248, University Library of Munich, Germany.
    47. Fabi'an Crocce & Juho Happola & Jonas Kiessling & Ra'ul Tempone, 2015. "Error analysis in Fourier methods for option pricing," Papers 1503.00019, arXiv.org, revised Nov 2015.

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