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"A Fourier-Based Valuation Method for Bermudan and Barrier Options under ..."

Fang Fang, Cornelis W. Oosterlee (2011)

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DOI: 10.1137/100794158

access: closed

type: Journal Article

metadata version: 2019-10-19

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Fang Fang, Cornelis W. Oosterlee:
A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model. SIAM J. Financial Math. 2(1): 439-463 (2011)

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