Binomial tree method for option pricing: Discrete cosine transform approach-Reference-Cited by-同舟云学术

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Binomial tree method for option pricing: Discrete cosine transform approach

Published:2022-08 Issue: Volume:198 Page:312-331
ISSN:0378-4754
Container-title:Mathematics and Computers in Simulation
language:en
Short-container-title:Mathematics and Computers in Simulation

Author:

Muroi Yoshifumi,Suda Shintaro

Funder

Japan Society for the Promotion of Science

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Numerical Analysis,General Computer Science,Theoretical Computer Science

Reference32 articles.

1. Jump diffusion valuation in continuous time;Amin;J. Finance,1993

2. The fine structure of asset returns: an empirical investigation;Carr;J. Bus.,2002

3. Option valuation using the fast Fourier transform;Carr;J. Comput. Finance,1999

4. Introduction to fast Fourier transform in finance;Černý;J. Deriv.,2004

5. Fourier Transform Methods in Finance;Cherubini,2010

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